Cytokines are pleotropic cell signaling proteins that, in addition to their role as inflammatory mediators, also affect neurotransmitter systems, brain functionality and mood. Here we explore the potential utility of cytokine biomarkers for major depressive disorder. Specifically, we explore how genetic, transcriptomic and proteomic information relating to the cytokines might act as biomarkers, aiding clinical diagnosis and treatment selection processes. We advise future studies to investigate whether cytokine biomarkers might differentiate major depressive disorder patients from other patient groups with overlapping clinical characteristics. Furthermore, we invite future pharmacogenetic studies to investigate whether early antidepressant-induced changes to cytokine mRNA or protein levels precede behavioral changes and act as longer-term predictors of clinical antidepressant response.