There exists a critical link between immunological processes and metabolic changes. Furthermore, it becomes more and more evident that changes in immunometabolic pathways are highly interconnected with psychological processes and the nervous system. Depressive disorders are a major contributor to the overall burden of disease worldwide. Despite extensive research, therapeutic interventions are often not satisfying. This may be due to the yet only partially elucidated pathobiochemistry underlying the development of depression which may be influenced by multiple factors including genetics, environment, lifestyle, and importantly by the immunological status. In this review article, the roles and consequences of the interferon gamma-dependent pathways of tryptophan breakdown and neopterin formation are discussed, as well as phenylalanine metabolism, trying to provide a rational link between immunology, metabolism and mental status. Besides underlining the complexity of the mechanism involved in the development of depression, the knowledge on relevant biomarkers may be useful in orchestrating personalized therapy regimes.