Major depression is associated with a 4-fold increased risk for premature death, largely accounted by cardiovascular disease (CVD). The relationship between depression and CVD is thought to be mediated by the so-called metabolic syndrome (MeS). Epidemiological studies have consistently demonstrated a co-occurrence of depression with MeS components, ie, visceral obesity, dyslipidemia, insulin resistance, and hypertension. Although the exact mechanisms linking MeS to depression are unclear, different hypotheses have been put forward. On the one hand, MeS could be the hallmark of the unhealthy lifestyle habits of depressed patients. On the other, MeS and depression might share common alterations of the stress system, including the hypothalamus–pituitary–adrenal (HPA) axis, the autonomic nervous system, the immune system, and platelet and endothelial function. Both the conditions induce a low grade chronic inflammatory state that, in turn, leads to increased oxidative and nitrosative (O&NS) damage of neurons, pancreatic cells, and endothelium. Recently, neurobiological research revealed that peripheral hormones, such as leptin and ghrelin, which are classically involved in homeostatic energy balance, may play a role in mood regulation. Metabolic risk should be routinely assessed in depressed patients and taken into account in therapeutic decisions. Alternative targets should be considered for innovative antidepressant agents, including cytokines and their receptors, intracellular inflammatory mediators, glucocorticoids receptors, O&NS pathways, and peripheral mediators.