Abstract Background We now know that depression is associated with a chronic, low-grade inflammatory response and activation of cell-mediated immunity, as well as activation of the compensatory anti-inflammatory reflex system. It is similarly accompanied by increased oxidative and nitrosative stress (O&NS), which contribute to neuroprogression in the disorder. The obvious question this poses is ‘what is the source of this chronic low-grade inflammation?’ Discussion This review explores the role of inflammation and oxidative and nitrosative stress as possible mediators of known environmental risk factors in depression, and discusses potential implications of these findings. A range of factors appear to increase the risk for the development of depression, and seem to be associated with systemic inflammation; these include psychosocial stressors, poor diet, physical inactivity, obesity, smoking, altered gut permeability, atopy, dental cares, sleep and vitamin D deficiency. Summary The identification of known sources of inflammation provides support for inflammation as a mediating pathway to both risk and neuroprogression in depression. Critically, most of these factors are plastic, and potentially amenable to therapeutic and preventative interventions. Most, but not all, of the above mentioned sources of inflammation may play a role in other psychiatric disorders, such as bipolar disorder, schizophrenia, autism and post-traumatic stress disorder.