Depression and anxiety disorders are common psychiatric illnesses whose etiology remains partially understood. The etiology of depression and anxiety disorders is multi-factorial, and abnormalities in neurotransmitter, neuroendocrine system, and brain activation have been implicated in those conditions. However, the pathophysiology of depression and anxiety disorder is certainly not well understood, and some patients with depression or anxiety disorders do not respond to antidepressant therapy. Recently, immunological factors such as cytokines are known to be closely related to central nervous system as well as depression and anxiety disorders. This review highlights recent progress in understanding the function of cytokines in depression and anxiety disorders.