Depression is a common psychiatric disorder in patients with advanced chronic kidney diseases (CKDs). Strong correlation has been reported between depression and patients' morbidity and mortality among dialysis patients. On the contrary, chronic inflammation may be a major contributor to morbidity and mortality in these patients. Elevated plasma levels of proinflammatory cytokines, especially C-reactive protein and interleukin (IL)-6, have been correlated with cardiovascular events, hospitalization, and all-cause and cardiovascular-associated mortality in dialysis patients. Studies suggested that inflammation-mediated atherosclerotic cardiovascular diseases are the possible reasons for depression-induced mortality among patients without renal diseases. Several studies found significant elevations in circulating levels of proinflammatory cytokines, particularly IL-6 and tumor necrosis factor-α, in patients with major depression. Furthermore, depressive mood and behaviors, including sadness and suicidal ideation, were observed in patients who received repeated injections of recombinant cytokines. A thorough literature review indicates that while depressive symptoms and elevated inflammatory cytokine levels coexist in CKD and dialysis patients, their association is uncertain. Depression seems to be more associated with elevated serum levels of IL-6 than other cytokines in these patients. Further studies are needed to clarify the possibility of a causal relationship between inflammation and depressive symptoms in CKD and dialysis patients.