Late-life depression is one of the most common neuropsychiatric disorders in the elderly population. Its clinical presentation is heterogeneous and has some distinctive features from depression in adults. In recent years, it has been demonstrated that patients with late-life depression present significant abnormalities in several neurobiological cascades. Among them, inflammatory, neuroendocrine, and neurotrophic cascades are of paramount importance. In this review, we revise the evidence of involvement of these cascades in the pathophysiology of late-life depression and the potential of the associated molecules (such as cytokines, neurotrophic factors, and hormones) as diagnostic and prognostic biomarkers. Despite the unequivocal advance in the understanding of its neurobiological basis, to date there is no sufficient evidence to support any biomarker of late-life depression. The search for valid biomarkers of late-life depression is warranted because they may contribute to correct diagnostic classification and to predict clinical outcome.