Perinatal depression is one of the leading causes of maternal morbidity and mortality. The biological etiology of this disorder remains in question, despite considerable research into the contributions of hormonal imbalance, the role of monoamines, and dysregulation of the HPA axis. Because inflammation is known to be associated with major depression in men and non-perinatal women as well as with other important morbidities of pregnancy (such as preeclampsia, preterm birth, and gestational diabetes), and because these morbidities may correlate with perinatal depression, inflammation may be a common physiological pathway that can also help explain perinatal depression. In this paper, we review the theoretical background of inflammation in perinatal depression and then review the literature concerning immune and inflammatory factors in the etiology and course of perinatal depression. We close with recommendations for future studies in this still relatively unexplored area. Identification and understanding of a common pathophysiology between other pregnancy morbidities and perinatal depression would link physical and mental well-being, likely leading to better treatment and prevention.