Cytokines are widely studied in the context of the pathogenesis and treatment of major depression. This review focuses on the potential importance of IL-2 and soluble IL-2R in major depression, as well as on their role in the mediation of the effects of antidepressant treatment. In general, there has been no consistent pattern in the associations observed between cytokine concentration, or changes thereof, and clinical indices of major depression. One intriguing question is whether pretreatment levels of immune system markers, such as IL-2R alpha, can be used to predict responses to antidepressant treatment. Based on the currently available data, this issue remains unresolved. This review also highlights certain methodological problems pertaining to the measurement of IL-2 and IL-2R in the context of depression and presents ideas for further research in this field.