There is convergent evidence that the immune system is dysregulated in some depressed individuals. A psychoneuroimmunology-based understanding of depression is advancing rapidly; however, a question of fundamental importance is poorly understood: does inflammation play a causal role in the etiology of depression or are elevated inflammatory biomarkers a downstream effect of depressive behaviors? Although longitudinal studies suggest that the relationship between depression and inflammation is characterized by complex bidirectional associations, existing prospective, longitudinal research designs are poorly equipped to investigate the dynamic interplay of depression and inflammation that unfolds over a relatively short time period. In addition, the precise role played by multiple, shared, and overlapping risk factors (e.g., diet, adiposity, stress, sleep dysregulation) in the etiology of depression and a pro-inflammatory phenotype (or both) is poorly understood. In this manuscript, I highlight the benefits of research designs that (i) manipulate constructs of interest (depression/inflammation) using intervention or treatment designs and (ii) use intensive sampling approaches with an ultimate goal of better understanding the temporal sequence and causal relationships of depression, inflammation, cognitive dysfunction, and their shared risk factors. For instance, are improved depressive symptoms a downstream effect of changes in inflammatory activity caused by increases in exercise or, alternatively, are changes in inflammatory activity and depression sequelae of improvements in sleep quality caused by increases in exercise? Potential benefits of these research designs are discussed in terms of their contribution to a better understanding of the etiology of depression and a pro-inflammatory phenotype, their relevance to structural health inequalities, and better characterizing the heterogeneous clinical presentation of depression, particularly relating to the etiology of cognitive dysfunction in depression.