Major depressive disorder (MDD) is a debilitating condition, whose high prevalence and multisymptomatic nature set its standing as a leading contributor to global disability. To better understand this psychiatric disease, various pathophysiological mechanisms have been proposed, including changes in monoaminergic neurotransmission, imbalance of excitatory and inhibitory signaling in the brain, hyperactivity of the hypothalamic-pituitary-adrenal (HPA) axis, and abnormalities in normal neurogenesis. While previous findings led to a deeper understanding of the disease, the pathogenesis of MDD has not yet been elucidated. Accumulating evidence has confirmed the association between chronic inflammation and MDD, which is manifested by increased levels of the C-reactive protein, as well as pro-inflammatory cytokines, such as Interleukin 1 beta, Interleukin 6, and the Tumor necrosis factor alpha. Furthermore, recent findings have implicated a related family of cytokines with chemotactic properties, known collectively as chemokines, in many neuroimmune processes relevant to psychiatric disorders. Chemokines are small (8–12 kDa) chemotactic cytokines, which are known to play roles in direct chemotaxis induction, leukocyte and macrophage migration, and inflammatory response propagation. The inflammatory chemokines possess the ability to induce migration of immune cells to the infection site, whereas their homeostatic chemokine counterparts are responsible for recruiting cells for their repair and maintenance. To further support the role of chemokines as central elements to healthy bodily function, recent studies suggest that these proteins demonstrate novel, brain-specific mechanisms including the modulation of neuroendocrine functions, chemotaxis, cell adhesion, and neuroinflammation. Elevated levels of chemokines in patient-derived serum have been detected in individuals diagnosed with major depressive disorder, bipolar disorder, and schizophrenia. Furthermore, despite the considerable heterogeneity of experimental samples and methodologies, existing biomarker studies have clearly demonstrated the important role of chemokines in the pathophysiology of psychiatric disorders. The purpose of this review is to summarize the data from contemporary experimental and clinical studies, and to evaluate available evidence for the role of chemokines in the central nervous system (CNS) under physiological and pathophysiological conditions. In light of recent results, chemokines could be considered as possible peripheral markers of psychiatric disorders, and/or targets for treating depressive disorders.