Depression is an inflammatory disease, but cell-mediated immune activation is the key component of depression.

Inflammatory markers in depression are many, and include increased serum levels of the soluble IL-2 receptor and of CD8; increased numbers and percentages of activated T cells,  increased stimulated production of Interferon gamma ; higher neopterin and soluble TNF receptors (TNFR1 and TNFR2) ; induction of indoleamine 2,3-dioxygenase, lowered levels of plasma tryptophan and increased levels of tryptophan catabolites along the kynurenine  pathway and glucocorticoid resistance in immune cells. The effects on tryptophan metabolism provide an evident link to the serotonergic system. 

This is related to the recent post showing that anti-inflammatories inhibit the effects of tricyclic antidepressants. 
See:-

Antidepressant effects of selective serotonin reuptake inhibitors (SSRIs) are attenuated by antiinflammatory drugs in mice and humans

Inflammation and immune activation are key factors in depression.