Since depression remains a major public health issue there is a constant need for new and more efficient therapeutic strategies based on the mechanisms involved in the aetiology of depression. Thus, the pathogenic link between depression and inflammation is considered to play a potential key role in the development of such therapies. This review summarizes the results of various pharmacological (non-steroidal anti-inflammatory drugs, aspirin, cyclooxygenase inhibitors, cytokine inhibitors, corticosteroids, statins, minocycline, N-acetyl cysteine, omega-3 fatty acids and probiotics) and non-pharmacological interventions (electroconvulsive therapy, physical exercise and psychological therapy) and outlines their efficacy and discusses potential challenges. Both conventional and non-conventional anti-inflammatory drugs showed promising results according to the specific group of patients. The pre-existing pro-inflammatory status was, in most cases, a predictor for clinical efficacy and, in some cases, a correlation between clinical improvement and changes in various biomarkers was found. Some of the non-pharmacological interventions (physical exercise and electroconvulsive therapy) have also showed beneficial effects for depressive patients with elevated inflammatory markers. Treatments with anti-inflammatory action may improve clinical outcomes in depression, at least for some categories of patients, thus opening the way for a future personalised approach to patients with unipolar depression regarding the inflammation-related mechanism.