Stress, a risk factor of major depression induces cytokine mediated inflammation and decreased neurogenesis. In patients with major depression, significant increases of pro-inflammatory cytokines have been consistently reported. The pro-inflammatory cytokines can stimulate the hypothalamic-pituitary-adrenal (HPA) axis to release glucocorticoids. In the brain, microglia and play a role of immune activation in response to stress. Increased pro-inflammatory cytokine play a role in restricting neurogenesis in the brain. Although neurogenesis may not be essential for the development of depression, it may be required for clinically effective antidepressant treatment. Hence, stimulation of neurogenesis is regarded as a promising strategy for new antidepressant targets. This review introduces changes in neurotransmitter, cytokine and neurogenesis in major depression and explores the possible relationship between pro-inflammatory cytokines and neurogenesis related to stress in major depression.