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It is of considerable translational importance whether depression is a form or a consequence of sickness behavior. Sickness behavior is a behavioral complex induced by infections and immune trauma and mediated by pro-inflammatory cytokines. It is an adaptive response that enhances recovery by conserving energy to combat acute inflammation. There are considerable phenomenological similarities between sickness behavior and depression, for example, behavioral inhibition, anorexia and weight loss, and melancholic (anhedonia), physio-somatic (fatigue, hyperalgesia, malaise), anxiety and neurocognitive symptoms. In clinical depression, however, a transition occurs to sensitization of immuno-inflammatory pathways, progressive damage by oxidative and nitrosative stress to lipids, proteins, and DNA, and autoimmune responses directed against self-epitopes. The latter mechanisms are the substrate of a neuroprogressive process, whereby multiple depressive episodes cause neural tissue damage and consequent functional and cognitive sequelae. Thus, shared immuno-inflammatory pathways underpin the physiology of sickness behavior and the pathophysiology of clinical depression explaining their partially overlapping phenomenology. Inflammation may provoke a Janus-faced response with a good, acute side, generating protective inflammation through sickness behavior and a bad, chronic side, for example, clinical depression, a lifelong disorder with positive feedback loops between (neuro)inflammation and (neuro)degenerative processes following less well defined triggers.