In the last decade an increasing body of research has focussed on the potential role of inflammation in the onset of psychiatric disorders. Although the association between inflammation and depression appears now widely acknowledged, mixed findings have been reported in psychosis leaving the pathophysiological role of inflammation in psychosis still unclear. This paper aims to review studies focussing on inflammation in first-episode psychosis, in order to avoid the possible confounding effects of the long duration of illness and chronic treatment with psychotropic medications. Increased levels of IL-6, TNF-α and IL-1β are the most consistent findings from the studies conducted in first-episode psychosis patients. Mixed findings on other cytokines could be partly due to the different methodologies of the studies reviewed. The findings on the association between inflammatory markers and clinical symptoms and physical health, as well as on the effect of antipsychotic medications on inflammation at the onset of psychosis are also reviewed and discussed. The increased inflammation at onset of psychosis as well as in other psychiatric conditions, such as depression, suggests the presence of biological abnormalities which play a pathophysiological role across different diagnostic categories. Future research should test if increased inflammation could be used for the development of biomarkers, as well as as a potential therapeutic target for different subsamples of patients independently of their diagnostic category.