The relationship between neuroinflammation and depression is a complex area of research that has garnered significant attention in recent years. Neuroinflammation, characterized by the activation of glial cells and the release of pro-inflammatory cytokines, has been implicated in the pathophysiology of depression. The relationship between neuroinflammation and depression is bidirectional; not only can inflammation contribute to the onset of depressive symptoms, but depression itself can also exacerbate inflammatory responses, creating a vicious cycle that complicates treatment and recovery. The present comprehensive review aimed to explore the current findings on the interplay between neuroinflammation and depression, as well as the mechanisms, risk factors, and therapeutic implications. The mechanisms by which neuroinflammation induces depressive-like behaviors are diverse. Neuroinflammation can increase pro-inflammatory cytokines, activate the hypothalamus–pituitary–adrenal (HPA) axis, and impair serotonin synthesis, all of which contribute to depressive symptoms. Furthermore, the activation of microglia has been linked to the release of inflammatory mediators that can disrupt neuronal function and contribute to mood disorders. Stress-induced neuroinflammatory responses can lead to the release of pro-inflammatory cytokines that not only affect brain function but also influence behavior and mood. Understanding these mechanisms is crucial for developing targeted therapies that can mitigate the effects of neuroinflammation on mood disorders.