It has become widely accepted that the immune system, and specifically increased levels of inflammation, play a role in the development of depression. However, not everyone with increased inflammation develops depression, and as with all other diseases, there are risk factors that may contribute to an increased vulnerability in certain individuals. One such risk factor could be the timing of an inflammatory exposure. Here, using a combination of PubMed, EMBASE, Ovid Medline and PsycINFO, we systematically reviewed whether exposure to medically related inflammation in utero, in childhood, and in adolescence, increases the risk for depression in adulthood. Moreover, we tried to determine whether there was sufficient evidence to identify a particular time point during the developmental trajectory in which an immune insult could be more damaging. While animal research shows that early life exposure to inflammation increases susceptibility to anxiety- and depressive-like behaviour, human studies surprisingly find little evidence to support the notion that medically related inflammation in utero and in adolescence contributes to an increased risk of developing depression in later life. However, we did find an association between childhood inflammation and later life depression, with most studies reporting a significantly increased risk of depression in adults who were exposed to inflammation as children. More robust clinical research, measuring direct markers of inflammation throughout the life course, is greatly needed to expand on, and definitively address, the important research questions raised in this review.