Objective Systemic lupus erythematosus (SLE) is a chronic, relapsing–remitting autoimmune disorder that involves multiple organ systems including the central nervous system. Among the items included in the nomenclature for neuropsychiatric SLE, mood disorders have been identified. The aim of this paper is to review the clinical and psychobiological relationship between depression and SLE. Method We performed a systematic search of MEDLINE, EMBASE, PsychINFO, using MeSH headings and keywords for ‘depression’ and ‘SLE’. Results Seventeen studies reported depressive disorders, with prevalence rates in the range 17–75%. Three studies reported the most frequent symptoms, which may be represented by fatigue, weakness, somatic disorders and sleep disorders. Suicide ideation was much higher than in the general population. Nine studies analysed the relationship to SLE disease activity. The results of the available literature are contradictory. Psychobiological hypotheses have been considered in 13 studies. Among the psychobiological hypotheses which might underline the plausibility of their relationship, ‘psychosocial factors’ were the most frequently reported. Conclusions Differences in assessment techniques appear to be the main explanation for the variability in findings and important methodological limitations are present in the available literature to definitively point to the prevalence of depression, type of depression and most prevalent symptoms. To date, the relationship between depression and SLE disease activity also appears controversial. Methodological limitations are present in the available literature and it would be necessary to develop evidence-based guidelines to improve the diagnosis of depression in SLE. Identification of SLE-specific biomarkers of depression also has high priority.