Major depressive disorder (MDD) is a condition which has often been associated with chronic stress. The sympathetic nervous system is continuously activated without the normal counteraction of the parasympathetic nervous system under the influence of chronic stress. As a result, epinephrine and norepinephrine levels are increased, and acetylcholine levels are decreased, which in turn can increase the levels of pro-inflammatory cytokines. Peripheral inflammatory responses can access the brain, with neuroinflammation contributing to the increase in neurotoxic kynurenine pathway metabolites such as 3-hydroxykynurenine, 3-hydroxyanthranilic acid and quinolinic acid, and decrease in neuroprotective metabolites such as kynurenic acid. Pro-inflammatory cytokines can also exert direct neurotoxic effects on specific brain regions. Previous imaging studies have reported associations between pro-inflammatory states and alterations in brain regions involved in emotional regulation, including the hippocampus, amygdala and anterior cingulate cortex. Alterations in structure and function of such brain areas due to the neurotoxic effects of increased inflammation may be associated with the pathophysiology of depression. This review focuses the influence of stress on neuroinflammation which may cause alterations in brain structure and function in MDD.