Major depressive disorder (MDD) or Depression is one of the serious neuropsychiatric disorders affecting over 280 million people worldwide. It is 4th important cause of disability, poor quality of life, and economic burden. Women are more affected with the depression as compared to men and severe depression can lead to suicide. Most of the antidepressants predominantly work through the modulation on the availability of monoaminergic neurotransmitter (NTs) levels in the synapse. Current antidepressants have limited efficacy and tolerability. Moreover, treatment resistant depression (TRD) is one of the main causes for failure of standard marketed antidepressants. Recently, inflammation has also emerged as a crucial factor in pathological progression of depression. Proinflammatory cytokine levels are increased in depressive patients. Antidepressant treatment may attenuate depression via modulation of pathways of inflammation, transformation in structure of brain, and synaptic plasticity. Hence, targeting inflammation may be emerged as an effective approach for the treatment of depression. The present review article will focus on the preclinical and clinical studies that targets inflammation. In addition, it also concentrates on the therapeutic approaches' that targets depression via influence on the inflammatory signaling pathways. Graphical abstract demonstrate the role of various factors in the progression and neuroinflammation, oxidative stress. It also exhibits the association of neuroinflammation, oxidative stress with depression.