"We replicated the finding that autoimmune disorders are frequently comorbid with depression, using a longitudinal national birth cohort and self-report data, which is increasingly used in the study of depression."
So said the findings reported by Jack Euesden and colleagues  (open-access) adding further to a growing peer-reviewed literature base  citing a 'connection' between immune function/dysfunction and the presentation of psychiatric/behavioural features (see here). And yes, their results did seem to add to other work more generally on the overlapping presence of autoimmune disorders and something like mood disorder (see here) and specifically with certain autoimmune parameters in mind (see here).
Drawing on data from the National Child Development Study (NCDS), an initiative based here in Blighty that "comprised of all children born in England, Scotland and Wales, in one week of 1958", researchers posed various questions to participants. These included querying them about their medical histories in respect of "23 autoimmune disorders" and questioning around "three self-report measures of depression onset" at various stages of the 1958 participant cohort. These were self-report measures but alongside, researchers also accessed data from blood samples with respect to genetic analyses.
Results: based on data from over 8100 participants, approximately 4% of the sample "reported ever being diagnosed with an autoimmune disorder." Alongside, some 1500 participants (18%) reported "ever experiencing depression" (i.e. were described as 'positive' for the measures of depression used during the study). When looking at the data combined, researchers concluded that there was significant 'comorbidity' between the self-reports of depression and the self-reports of autoimmune disease. As per the title of this post, the nature of the relationship was bi-directional in that: "Autoimmune disorder onset associated with increased subsequent hazard of depression onset" and "depression increased subsequent hazard of autoimmune disorder onset."
Keeping in mind that self-report whilst a good rough-and-ready measure is not exactly the same as analysis of medical records when it comes to confirming any diagnosis nor that depression screens are the same as face-to-face diagnosis for something like clinical depression, there are some important implications raised from this and other related work. Analysis of 'shared pathways' between something like depression and autoimmune disease (bearing in mind, both terms cover quite a lot of clinical area) is perhaps something to consider. We're already beginning to realise that something like 'autism genes are not just genes for autism' and no doubt such a sentiment extends to other behavioural/psychiatric labels too. I note the authors also head down the [previously trodden] path suggesting that immune-based treatments might serve more than one purpose when it comes to the correlation between depression and autoimmune disease (see here). Keeping also in mind that autoimmune disease basically reflects a loss of immune tolerance to self, one wonders how deep the rabbit hole might go. If we take one specific autoimmune condition, coeliac disease, where the primary treatment is the use of a gluten-free diet, does this mean that such a diet might be useful for some types of depression too (see here)?
There are still lots of questions still to be asked/answered with regards to the 'connection' between depression and autoimmune disease. But research such as this from Euesden et al represents further realisation that the immune system seems to be doing quite a bit more than just protecting us from the odd pathogen...
 Euesden J. et al. A bidirectional relationship between depression and the autoimmune disorders – New perspectives from the National Child Development Study. PLoS ONE. 2017; 12(3): e0173015.
 Andersson NW. et al. Depression and the risk of autoimmune disease: a nationally representative, prospective longitudinal study. Psychol Med. 2015 Dec;45(16):3559-69.
Euesden J, Danese A, Lewis CM, & Maughan B (2017). A bidirectional relationship between depression and the autoimmune disorders - New perspectives from the National Child Development Study. PloS one, 12 (3) PMID: 28264010