The involvement of central and peripheral inflammation in the pathogenesis and prognosis of major depressive disorder (MDD) has been demonstrated. The increase of pro-inflammatory cytokines (interleukin (IL)-1β, IL-6, IL-18, and TNF-α) in individuals with depression may elicit neuroinflammatory processes and peripheral inflammation, mechanisms that, in turn, can contribute to gut microbiota dysbiosis. Together, neuroinflammation and gut dysbiosis induce alterations in tryptophan metabolism, culminating in decreased serotonin synthesis, impairments in neuroplasticity-related mechanisms, and glutamate-mediated excitotoxicity. This review aims to highlight the inflammatory mechanisms (neuroinflammation, peripheral inflammation, and gut dysbiosis) involved in the pathophysiology of MDD and to explore novel anti-inflammatory therapeutic approaches for this psychiatric disturbance. Several lines of evidence have indicated that in addition to antidepressants, physical exercise, probiotics, and nutraceuticals (agmatine, ascorbic acid, and vitamin D) possess anti-inflammatory effects that may contribute to their antidepressant properties. Further studies are necessary to explore the therapeutic benefits of these alternative therapies for MDD.