Impaired appetite and weight changes are commonly seen in patients with depression, but the pathophysiology behind this imbalance between energy intake and energy expenditure remains largely unknown. The aim of this paper is to review the literature regarding a possible role for cytokines in the regulation of appetite and body weight, with special emphasis on depression. There now exists a substantial amount of evidence that depressed patients show signs of immune activation including increased levels of proinflammatory cytokines. Cytokines, which by themselves have anorectic properties, stimulate the release of the cytokine-like anorexogenic peptide leptin. In addition to their anorectic properties, both proinflammatory cytokines and leptin interact with the hypothalamic-pituitary-adrenal (HPA) axis, the sympathetic nervous system (SNS) and the immune system. In turn, these systems regulate energy balance as well as they are dysfunctional in depression. Furthermore, both proinflammatory cytokines and leptin can induce anhedonia, one of the cardinal symptoms of depression. In view of the different effects on appetite and/or body weight observed in melancholic versus atypical depression, we suggest that cytokines are differentially altered in these subtypes of depression, and that this may explain some of the inconsistency in the reported findings of cytokine as well as leptin levels in depressed patients. Finally, we propose that the immune system uses the interoceptive pathway projecting to the insular cortex, a brain region where cytokine-induced changes in appetite could be partly mediated, and that this pathway is activated in depression.