The etiopathogenesis of depression is not entirely understood. Several studies have investigated the role of inflammation in major depressive disorder. The present work aims to review the literature on the association between C-Reactive Protein (CRP) and depression. A systematic review was performed for the topics of ‘CRP’ and ‘depression’ using the PubMed database from inception to December 2021. Fifty-six studies were identified and included in the review. Evidence suggested the presence of dysregulation in the inflammation system in individuals with depression. In most studies, higher blood CRP levels were associated with greater symptom severity, a specific pattern of depressive symptoms, and a worse response to treatment. Moreover, about one-third of depressed patients showed a low-grade inflammatory state, suggesting the presence of a different major depressive disorder (MDD) subgroup with a distinct etiopathogenesis, clinical course, treatment response, and prognosis, which could benefit from monitoring of CRP levels and might potentially respond to anti-inflammatory treatments. This work provides robust evidence about the potential role of CRP and its blood levels in depressive disorders. These findings can be relevant to developing new therapeutic strategies and better understanding if CRP may be considered a valuable biomarker for depression.