Two papers are presented for your reading pleasure today, both covering a topic of growing importance on how at least some types of depression very much seem to show some immune system involvement whether causative or as part of the illness/condition course.
The first paper is by Leighton and colleagues  and provides results based on a systematic review and meta-analysis of the literature pertinent to the role of inflammation or chemicals involved in inflammatory processes ("chemotactic cytokines (chemokines)") in relation to depression. The authors begin their paper abstract with the words "Inflammatory illness is associated with depression" and concluded that their collected results "finds evidence linking abnormalities of blood chemokines with depression in humans."
The second paper is by Köhler and colleagues  and, although published slightly earlier this year (2017), similarly set about examining "measured cytokine and chemokine levels in individuals with major depressive disorder (MDD) compared to healthy controls (HCs)" also using a systematic review and meta-analysis. Their results similarly concluded that "a cytokine/chemokine profile [was] associated with MDD."
Combined these two review papers (and other research) provide a compelling case for immune system involvement in at least some cases or classes of cases of depression. Alongside other research  asking where the inflammation comes from in potential cases of 'inflammatory depression', there is still much to do in this promising area of interface between immune system/function and psychiatric/behavioural presentation (see here). Then also comes another potentially important implication from such studies: attend to the cytokine/chemokine profile and treat the depression? (see here). I say this with no medical advice given or intended and also acknowledging that the immune system is a mighty, mighty complex thing (see here)...
 Leighton SP. et al. Chemokines in depression in health and in inflammatory illness: a systematic review and meta-analysis. Molecular Psychiatry. 2017. Nov 14.
 Köhler CA. et al. Peripheral cytokine and chemokine alterations in depression: a meta-analysis of 82 studies. Acta Psychiatr Scand. 2017 May;135(5):373-387.
 Berk M. et al. So depression is an inflammatory disease, but where does the inflammation come from? BMC Medicine. 2013;11:200.