Depression is primarily characterized by low mood, decreased interest, and anhedonia, along with psychological and somatic symptoms. These symptoms form a multidimensional clinical picture that impairs patients’ social functioning and significantly reduces their quality of life. Accumulating evidence suggests a bidirectional relationship between peripheral and central inflammatory responses and depression. This relationship is mediated through mechanisms such as damaging the blood-brain barrier, activating glial cells, and causing neurotransmitter metabolic disorders. This review aims to provide a comprehensive overview of the potential of inflammatory factors as biomarkers for depression, focusing on the core inflammatory mediators—Interleukin-1 beta (IL-1?), Interleukin-2 (IL-2), Interleukin-6 (IL-6), Interleukin-17A (IL-17A), Interleukin-23 (IL-23), and Tumor Necrosis Factor-alpha (TNF-?)—and their mechanistic links to depression. We critically evaluate recent advancements in the field, integrating findings from preclinical models and clinical studies to elucidate the bidirectional relationship between inflammation and depression. This review also discusses the potential of inflammatory biomarkers for diagnostic and therapeutic applications, emphasizing the need for a more nuanced understanding of the inflammatory pathways involved in depression.