Depression and psychosis have a developmental component to their origin. Epidemiologic evidence, which we synthesize in this nonsystematic review, suggests that early-life infection, inflammation, and metabolic alterations could play a role in the etiology of these psychiatric disorders. The risk of depression and psychosis is associated with prenatal maternal and childhood infections, which could be mediated by impaired neurodevelopment. Evidence suggests linear dose-response associations between elevated concentrations of circulating inflammatory markers in childhood, particularly the inflammatory cytokine interleukin 6, and the risk for depression and psychosis subsequently in early adulthood. Childhood inflammatory markers are also associated with persistence of depressive symptoms subsequently in adolescence and early adulthood. Developmental trajectories reflecting persistently high insulin levels during childhood and adolescence are associated with a higher risk of psychosis in adulthood, whereas increased adiposity during and after puberty is associated with the risk of depression. Together, these findings suggest that higher levels of infection, inflammation, and metabolic alterations commonly seen in people with depression and psychosis could be a cause for, rather than simply a consequence of, these disorders. Therefore, early-life immuno-metabolic alterations, as well as factors influencing these alterations such as adversity or maltreatment, could represent targets for prevention of these psychiatric disorders. Inflammation could also be an important treatment target for depression and psychosis. The field requires further research to examine sensitive periods when exposure to such immuno-metabolic alterations is most harmful. Interventional studies are also needed to test the potential usefulness of targeting early-life immuno-metabolic alterations for preventing adult depression and psychosis.