Substance use/abuse is one of the main causes of depressive symptoms. Cannabis and synthetic cannabinoids in particular gained significant popularity in the past years. There is an increasing amount of clinical data associating such compounds with the inflammatory component of depression, indicated by the up-regulation of pro-inflammatory cytokines. Pro-inflammatory cytokines are also well-known to regulate the enzymes of the kynurenine pathway (KP), which is responsible for metabolizing tryptophan, a precursor in serotonin synthesis. Enhanced pro-inflammatory cytokine levels may over-activate the KP, leading to tryptophan depletion and reduced serotonin levels, which can subsequently precipitate depressive symptoms. Therefore, such mechanism might represent a possible link between the endocannabinoid system (ECS) and the KP in depression, via the inflammatory and dysregulated serotonergic component of the disorder. This review will summarize the data regarding those natural and synthetic cannabinoids that increase pro-inflammatory cytokines. Furthermore, the data on such cytokines associated with KP activation will be further reviewed accordingly. The interaction of the ECS and the KP has been postulated and demonstrated in some studies previously. This review will further contribute to this yet less explored connection and propose the KP to be the missing link between cannabinoid-induced inflammation and depressive symptoms.