There is evidence that inflammation is among the causes of depression:
> pro-inflammatory drugs can induce people to become depressed, which suggests a causative link. In one seminal study published in the New England Journal of Medicine, Miller and his colleagues conducted a double-blind study of 40 cancer patients undergoing treatment with interferon-alpha, an inflammatory cytokine.
> Though none of the patients had depression to begin with, the inflammatory agent had a striking effect: Many became depressed, a finding that has been consistently replicated.