Treatment of depression is hampered by the failure to identify distinct symptom profiles with distinct pathophysiologies that differentially respond to distinct treatments. We posit that inflammatory depression is a meaningful depression subtype associated with specific symptoms and biological abnormalities. We review several upstream, potentially causative, mechanisms driving low-grade inflammation in this subtype of depression. We also discuss downstream mechanisms mediating the link between inflammation and symptoms of depression, including alterations in dopaminergic neurotransmission and tryptophan metabolism. Finally, we review evidence for several non-pharmacological interventions for inflammatory depression, including probiotics, omega-3 fatty acids, and physical exercise interventions. While some evidence suggests that these interventions may be efficacious in inflammatory depression, future clinical trials should consider enriching patient populations for inflammatory markers, or stratify patients by inflammatory status, to confirm or refute this hypothesis.