Background: Sex hormones and the immune system may play a key role in sex differences in affective disorders. The understanding of their interplay may lead to the detection of new sex-specific tailored therapeutic approaches. The aim of this systematic review is to summarise the evidence supporting a possible association between sex hormones and inflammatory biomarkers in people with affective disorders. Methods: A systematic search of the literature published until January 2021 was conducted on PubMed database. The initial search identified a total of 1259 studies; 20 studies investigating inflammatory biomarkers and sex hormones in patients exhibiting depressive symptoms were included: 10 studies focused on patients with affective disorders, and 10 studies focused on women in menopause or in the post-partum period exhibiting depressive symptoms. Results: Testosterone and exogenous female sex hormones may play protective roles through their modulation of the immune system, respectively, in male patients with bipolar disorder and in peri-/post-menopausal women with depression. Limitations: The main limitations are the paucity of studies investigating both sex hormones and immune biomarkers, the lack of statistical analyses exploring specifically the association between these two classes of biomarkers, and the great heterogeneity between the participants’ samples in the studies. Conclusion: This review highlights the need to investigate the interplay between sex hormones and immune system in affective disorders. The inconsistent or incomplete evidence may be improved by studies in patients with moderate-high inflammatory levels that specifically evaluate the relationship between sex hormones and the immune system.