"So depression is an inflammatory disease, but where does the inflammation come from?", Berk et al 2013:

"Background: We now know that depression is associated with a chronic, low-grade inflammatory response and activation of cell-mediated immunity, as well as activation of the compensatory anti-inflammatory reflex system. It is similarly accompanied by increased oxidative and nitrosative stress (O&NS), which contribute to neuroprogression in the disorder. The obvious question this poses is ‘what is the source of this chronic low-grade inflammation?’ Discussion: This review explores the role of inflammation and oxidative and nitrosative stress as possible mediators of known environmental risk factors in depression, and discusses potential implications of these findings. A range of factors appear to increase the risk for the development of depression, and seem to be associated with systemic inflammation; these include psychosocial stressors, poor diet, physical inactivity, obesity, smoking, altered gut permeability, atopy, dental cares, sleep and vitamin D deficiency.

There is now an extensive body of data showing that depression is associated with both a chronic low-grade inflammatory response, activation of cell-mediated immunity and activation of the compensatory anti-inflammatory reflex system (CIRS), characterized by negative immunoregulatory processes [1,2]...Indeed, cytokines induce depressive-like behaviors; in studies where healthy participants are given endotoxin infusions to trigger cytokines release, classical depressive symptoms emerge [7]. Exogenous cytokine infusions also cause the classical phenotypic behavioral and cognitive features of depression. As an exemplar, a quarter of the people given interferon for the treatment of hepatitis C develop emergent major depression [8,9]. Intriguingly, antidepressants, particularly selective serotonin reuptake inhibitors (SSRIs), in vitro or ex vivo exert significant negative immunoregulatory effects, decreasing the production of pro-inflammatory cytokines, for example, tumor necrosis factor (TNF)α and interleukin (IL)-1, T cell cytokines, for example, interferon (IFN)γ, and increasing that of anti-inflammatory cytokines, for example, IL-10 [10,11]."