Major depression is common in the context of autoimmune and inflammatory diseases and is frequently associated with persistently raised levels of proinflammatory cytokines and other markers of inflammation, even in the absence of another diagnosable immune pathology to account for these findings. Therefore immunoregulation-inducing vaccines or manipulations of the gut microbiota might prevent or treat depression. These strategies are already undergoing clinical trials for chronic inflammatory disorders, such as allergies, autoimmunity and inflammatory bowel disease. In this article, we summarize data suggesting that this approach might be effective in depression and encourage the initiation of clinical vaccination trials in this disorder.