Depression has a huge impact on individuals and society, with a lifetime prevalence of over 15%. This chapter deals with a research conducted on the relationship between depression and immunity. It overviews the clinical importance of depressive disorders for mortality risk. A hallmark of major depression is dysregulation of the hypothalamic-pituitary adrenal (HPA) axis and the over expression of cortisol. The chapter examines the various immune alterations that occur during depression and discusses the role of autonomic, neuroendocrine and behavioural mechanisms. It discusses the factors that moderate or mediate the effects of depression on natural killer (NK) activity. Changes of NK activity were related to changes in depressive symptom severity. The chapter further considers the clinical implications of immune changes in depression for several medical disorders. In addition to the biological mediators of immune changes in depression, examination of health status and behavioural factors is needed in clinical psychoneuroimmunology.