A growing number of studies are pointing out the need for a conceptual shift from a brain-centered to a body-inclusive approach in mental health research. In this perspective, the link between the immune and the nervous system, which are deeply interconnected and continuously interacting, is one of the most important novel theoretical framework to investigate the biological bases of major depressive disorder and, more in general, mental illness. Indeed, depressed patients show high levels of inflammatory markers, administration of pro-inflammatory drugs triggers a depressive symptomatology and antidepressant efficacy is reduced by excessive immune system activation. A number of molecular and cellular mechanisms have been hypothesized to act as a link between the immune and brain function, thus representing potential pharmacologically targetable processes for the development of novel and effective therapeutic strategies. These include the modulation of the kynurenine pathway, the crosstalk between metabolic and inflammatory processes, the imbalance in acquired immune responses, in particular T cell responses, and the interplay between neural plasticity and immune system activation. In the personalized medicine approach, the assessment and regulation of these processes have the potential to lead, respectively, to novel diagnostic approaches for the prediction of treatment outcome according to the patient's immunological profile, and to improved efficacy of antidepressant compounds through immune modulation.