Rheumatoid arthritis (RA) is frequently accompanied by depression, a comorbidity arising from the interplay of chronic systemic inflammation, neuroimmune activation, oxidative stress, and dysregulation of the gut–brain axis. Increasing evidence suggests that nanomedicine offers unique opportunities for the integrated management of RA-associated depression by enabling precise modulation of both peripheral inflammation and central nervous system (CNS) pathology. This review outlines the biological mechanisms linking RA and depression—including cytokine cascades, mitochondrial dysfunction, reactive oxygen species (ROS) accumulation, and microbial metabolite imbalance—and highlights recent progress in nanocarrier platforms capable of dual-site intervention. Liposomes, polymeric nanoparticles (NPs), exosomes, inorganic nanozymes, and emerging carbon-based nanomaterials have demonstrated the ability to target inflamed synovium, reprogram macrophage phenotypes, traverse the blood–brain barrier (BBB), suppress microglial overactivation, enhance neuroplasticity, and restore gut microbial homeostasis. Furthermore, stimulus-responsive nanoplatforms activated by ROS, pH, enzymes, or hypoxia provide spatiotemporally controlled drug release, thereby improving therapeutic precision. Finally, we discuss integrative designs such as dual-targeting nanomedicines, co-delivery systems, and microbiota-modulating nano-interventions, which offer promising strategies for the comprehensive treatment of RA-associated depression. This review aims to provide mechanistic insights and design principles to guide the development of next-generation nanomedicine for coordinated systemic-central modulation in RA comorbidity.