Recent quotes:

In depression the brain region for stress control is larger -- ScienceDaily

So far, it is known that people more predisposed to depression show a dysregulation of the endogenous stress response system, otherwise known as the hypothalamic-pituitary-adrenal axis (HPA axis), which is normally triggered when we are faced with a stressful situation. This response increases the amount of cortisol, providing the body with more energy when faced with a potential threat or challenge. Once the challenging situation has passed, several control mechanisms in the HPA axis normally ensure the system returns to a balanced state. In people who suffer with depressive disorder or who are more predisposed, this is not the case. Instead, a malfunction of the feedback mechanism results in a stress response operating at full throttle, even when there is no apparent stressful situation. Until now, the underlying reason for this hyperactive stress response system and the role of the hypothalamus as its overall control unit has remained unclear.

The immune system and the pathogenesis of depression

There is bidirectional communication between the HPA axis and the immune system. Cytokines activate the HPA axis and thus lead to the release of cortisol, the stress hormone, which ordinarily suppresses the immune response. Cortisol also inhibits its own release and thus the body is able to maintain a stable immune response through a tightly regulated feedback inhibition system. This regulation mechanism seems to be dysfunctional in depressive disorders and is thought to occur because of cytokine mediated receptor resistance to cortisol, thus impairing feedback inhibition. This essentially means that cytokines make cortisol unable to act on the receptors that would inhibit its release. Long story short — the HPA axis is hyperactive because of cytokines, leading to a chronic stress response because cytokines impair the body’s ability to regulate it — thus leading to depressive symptoms.