In response to a peripheral infection, innate immune cells produce pro-inflammatory cytokines that act on the brain to cause sickness behaviour. When activation of the peripheral immune system continues unabated, such as during systemic infections, cancer or autoimmune diseases, the ensuing immune signalling to the brain can lead to an exacerbation of sickness and the development of symptoms of depression in vulnerable individuals. These phenomena might account for the increased prevalence of clinical depression in physically ill people. Inflammation is therefore an important biological event that might increase the risk of major depressive episodes, much like the more traditional psychosocial factors.