Women are at significantly greater risk of developing stress-related disorders such as depression. The increased risk begins during puberty and continues throughout life until menopause, suggesting a role for ovarian hormones in this increased susceptibility. Importantly, inflammation has been gaining momentum in its role in the pathogenesis of depression. Herein, clinical and preclinical studies have been reviewed to better understand how sex differences within the immune system may contribute to exaggerated risk of depression in females. First, studies that investigate the ability of psychologic stress episodes to engage the inflammatory systems both in the brain and periphery are reviewed with a special focus on sex-specific effects. Moreover, studies are discussed that identify whether imbalanced inflammatory milieu contributes to the development of depression in males versus females and whether these effects are regulated by estradiol. Importantly, we propose a locus coeruleus-norepinephrine-cytokine circuit as a conduit through which stress could increase stress susceptibly in females. Finally, the anti-inflammatory capacity of traditional and nontraditional antidepressants is investigated, with the goal of providing a better understanding of pharmacotherapeutics to enhance strategies to personalize antidepressant treatments between the sexes. The studies reviewed herein strongly support the need for further studies to elucidate whether females are especially sensitive to anti-inflammatory compounds as adjuvants to traditional therapies. SIGNIFICANCE STATEMENT: Women have hve an increased risk of developing stress-related disorders such as depression. In this review, literature from clinical and preclinical studies are integrated to define sex differences in stress-induced inflammatory responses as a potential source for the etiology of sex differences in depressive disorders. Moreover, the anti-inflammatory capacity of traditional and nontraditional antidepressants is reviewed to inform on potential pharmacotherapeutic strategies to personalize antidepressant therapy in a sex-dependent manner.