Objective: The aim of this paper was to highlight the mechanisms involved and the relationship between depression and psoriasis. Method: A comprehensive literature search was performed in various databases, and finally 88 studies were deemed relevant. Results: A significant link was found between depression and psoriasis, primarily through immune mechanisms related but not limited to the actions of inflammatory cytokines such as tumor necrosis factor-α, interleukin 1 (IL-1), IL-2, IL-10, interferon-γ, IL-1β, prostaglandin E2, C-reactive protein, IL-6, and IL-8. Conclusion: Various neuroimmunological studies point towards the notion that depression and psoriasis are associated with each other. Melatonin has also been found to be associated with both conditions. A possibility exists that both conditions can cause each other due to the possible bidirectional relationship of psoriasis and major depression. However, if this is the case, then why all depressed patients fail to develop psoriasis and why all psoriatic patients fail to develop depression remains a question unanswered. We believe that future studies will unmask this mystery.