A growing body of data suggests that hyperactivation of the immune system has been implicated in the pathophysiology of major depressive disorder (MDD). Several pro-inflammatory cytokines, such as tumour necrosis factor-alpha (TNF-α) and interleukin-1 (IL-1) have been found to be significantly increased in patients with MDD. This review focuses on these two cytokines based on multiple lines of evidence from genetic, animal behaviour, and clinical studies showing that altered levels of serum TNF-α and IL-1 are associated with increased risk of depression, cognitive impairments, and reduced responsiveness to treatment. In addition, recent findings have shown that centrally expressed TNF-α and IL-1 play a dual role in the regulation of synaptic plasticity. In this paper, we review and critically appraise the mechanisms by which cytokines regulate synaptic and neural plasticity, and their implications for the pathophysiology and treatment of MDD. Finally, we discuss the therapeutic potential of anti-inflammatory-based approaches for treating patients with severe mood disorders. This is a promising field for increasing our understanding of the mechanistic interaction between the immune system, synaptic plasticity, and antidepressants, and for the ultimate development of novel and improved therapeutics for severe mood disorders.