Major depressive disorder (MDD) is one of the most debilitating diseases worldwide. Emerging evidence suggests that MDD entails extensive alterations in the inflammatory system, including elevated levels of pro-inflammatory cytokines. Furthermore, neuroimaging studies repeatedly have demonstrated functional and structural aberrations in cerebral areas related to emotion and reward processing in patients with MDD. However, it is still unknown whether these inflammatory and neurostructural alterations represent a consequence or a predisposition of depression. Childhood maltreatment and early-life stress are major risk factors for depression. In the last decade, there is rising evidence to suggest that early-life stress could act through both a modulation of inflammatory responses and neurostructural alterations across the life span, which are potential mechanisms that might increase the vulnerability of developing depression in adulthood.