Depression is one of the leading mental illnesses worldwide and lowers the quality of life of many. According to WHO, about 5% of the worldwide population suffers from depression. Newer studies report a staggering global prevalence of 27.6%, and it is rising. Professionally, depression belonging to affective disorders is a psychiatric illness, and the category of major depressive disorder (MDD) comprises various diagnoses related to persistent and disruptive mood disorders. Due to this fact, it is imperative to find a way to assess depression quantitatively using a specific biomarker or a panel of biomarkers that would be able to reflect the patients' state and the effects of therapy. Cytokines, hormones, oxidative stress markers, and neuropeptides are studied in association with depression. The latest research into inflammatory cytokines shows that their relationship with the etiology of depression is causative. There are stronger cytokine reactions to pathogens and stressors in depression. If combined with other predisposing factors, responses lead to prolonged inflammatory processes, prolonged dysregulation of various axes, stress, pain, mood changes, anxiety, and depression. This review focuses on the most recent data on cytokines as markers of depression concerning their roles in its pathogenesis, their possible use in diagnosis and management, their different levels in bodily fluids, and their similarities in animal studies. However, cytokines are not isolated from the pathophysiologic mechanisms of depression or other psychiatric disorders. Their effects are only a part of the whole pathway.