Compelling evidence have highlighted the role of inflammation as a possible mechanism linking environmental stress to the development of depression. In particular, the communication between the peripheral and the brain immune system might lead to brain inflammatory processes, in turn causing impaired neurogenesis and neural plasticity. As a consequence, measuring brain inflammation and its possible correlation with peripheral inflammatory processes has become the focus (and a challenge) for a number of recent studies. In this chapter we review the evidence on the link between stress, peripheral and brain inflammation and the way to measure it, through preclinical, post-mortem and clinical models of depression and in healthy humans. We describe the concept of microglial activation as a marker of neuroinflammation and the potential use of anti-inflammatory treatments in depression. The paper concludes by highlighting the unresolved questions and challenges for future studies.