Depression is a devastating mental disorder that affects millions of people worldwide. Inflammation has been shown to be a key factor involved in the underlying pathophysiology of depression and has been shown in a substantial proportion of cases of depression. Changes attributed with morphological deformities and immunomodulation in susceptible regions of the depressed brain raised the possibility of altered cellular homeostasis transduced by the intracellular stress response. How emotional stressors can lead to an inflamed brain that directly affects physiology and activity is yet to be fully understood. The unfolded protein response (UPR) has been shown to be active in both models of depression as well as in postmortem brain of depressed individuals. The UPR is the cellular response to stress which results in misfolded proteins. Interestingly, UPR activation is directly linked to both inflammatory cytokine production and Toll-like receptor (TLR) expression. The TLRs are part of the innate immune response which typically reacts to “classic invasions” such as bacteria or viruses as well as trauma. TLRs have also been shown to be upregulated in depression, thus solidifying the connection between inflammation and depression. In this review, we aim to tie the UPR–TLR response and depression, and describe the implications of such an association. We also propose future directions for their role in treatment for depression.