Background: E-cigarette use (vaping) is an emerging public health problem. Depression has been found to be associated with e-cigarette use, and vaping and depression are each associated with elevated systemic inflammation. To date, the role of inflammation in the relationship between vaping and depression has not been explored. Objective: To assess the independent associations between e-cigarette use, depression, and inflammation, and to investigate whether the likelihood of depression among current e-cigarette users is associated with systemic inflammation. Methods: Nationally representative NHANES data from 2015–2018 were used (n = 4961). Systemic inflammation was defined as serum C-reactive protein (CRP) ≥ 8.0 mg/L. Depressed individuals were characterized by a score ≥ 10 on the Patient Health Questionnaire-9 (PHQ-9). Current e-cigarette users were defined as individuals who vaped at least once in the past 30 days and these individuals were stratified by use: exclusive users (reported smoking less than 100 combustible cigarettes in their lifetime), dual users (reported current use of electronic and combustible cigarettes), and e-cigarette users who were previous smokers. Bivariate analyses were used to assess independent associations between vaping, depression, and inflammation; and weighted logistic regression analyses adjusting for BMI, sex, and economic status were used to determine the odds ratios (ORs) for depression by e-cigarette category stratified by differential CRP levels. Results: Depression occurred in 16.7% of all e-cigarette users vs. 5.0% of those who never used e-cigarettes (p < 0.001). In adjusted analyses, the following elevated ORs were found: all current e-cigarette users with CRP <8 = 3.37 (95% CI: 2.06, 5.51) vs. CRP ≥8 = 6.70 (2.48, 18.11); exclusive e-cigarette users with CRP <8 = 1.91 (0.78, 4.69) vs. those with CRP ≥8 = 5.09 (1.44, 18.02); and dual users with CRP <8 = 4.31 (2.35, 7.89) vs. those with CRP ≥8 = 7.37 (1.85, 29.41). These ORs indicate that depression is associated with each category of e-cigarette use; however, we found this association did not vary by systemic inflammation level (interaction p-values > 0.05). Conclusion: While a pattern of greater ORs for depression among e-cigarette users with elevated CRP provides provocative findings that might suggest a potential role of inflammation in the association between vaping and depression, we failed to find evidence that inflammation clearly moderates this association. While it is possible that depression among e-cigarette users may be influenced by systemic inflammation, a reproduction of the current study is necessary among a larger cohort to elucidate the effect of inflammation on depression among e-cigarette users.