Major depressive disorder (MDD) is a chronic condition that affects one in six adults in the US during their lifetime. The current practice of antidepressant medication prescription is a trial-and-error process. Additionally, over a third of patients with MDD fail to respond to two or more antidepressant treatments. There are no valid clinical markers to personalize currently available antidepressant medications, all of which have similar mechanisms targeting monoamine neurotransmission. The goal of this review is to summarize the recent findings of immune dysfunction in patients with MDD, the utility of inflammatory markers to personalize treatment selection, and the potential of targeting inflammation to develop novel antidepressant treatments. To personalize antidepressant prescription, a c-reactive protein (CRP)-matched treatment assignment can be rapidly implemented in clinical practice with point-of-care fingerstick tests. With this approach, 4.5 patients need to be treated for 1 additional remission as compared to a CRP-mismatched treatment assignment. Anti-cytokine treatments may be effective as novel antidepressants. Monoclonal antibodies against proinflammatory cytokines, such as interleukin 6, interleukin 17, and tumor necrosis factor α, have demonstrated antidepressant effects in patients with chronic inflammatory conditions who report significant depressive symptoms. Additional novel antidepressant strategies targeting inflammation include pharmaceutical agents that block the effect of systemic inflammation on the central nervous system. In conclusion, inflammatory markers offer the potential not only to personalize antidepressant prescription but also to guide the development of novel mechanistically-guided antidepressant treatments.