Both glucocorticoids and inflammation have been implicated in the pathogenesis of depression. There is a large body of literature indicating that hyperactivity of the hypothalamic-pituitary-adrenal (HPA) axis and glucocorticoid receptor (GR) dysfunction are present in a significant proportion of depressed patients. There is also evidence of increased inflammatory processes in depressed populations, with higher levels of cytokines being a prominent finding - including raised levels of IL-6, and IL-1. These findings appear difficult to reconcile given the well-recognised property of glucocorticoids as prominent anti-inflammatory molecules. There are three potential solutions posed to this dilemma. Firstly, it has been argued that the glucocorticoid system and the inflammatory system exist in balance with one another and chronic stress can disrupt this balance in favour of inflammatory processes at the expense of glucocorticoid signalling. It has also been suggested that glucocorticoids have more complex actions than typically thought, and, in low levels can actually be pro-inflammatory, rather than universally anti-inflammatory. Lastly, it is possible that inflammation and glucocorticoid signalling may act on the same processes and structures without direct interaction to give rise to cumulative damage. Improved understanding of this interaction will allow further progress in determining targets for treatment.