There is clinical and experimental evidence that various aspects of the immune and endocrine systems are severely compromised in chronic stress and depression. For example, it has been shown that a reduced lymphocyte response occurs to mitogens in depressed patients, effects that are not reversed by chronic antidepressant treatment. By contrast, monocyte phagocytosis is increased, while neutrophil phagocytosis is decreased in depressed patients. Such changes are normalized by effective antidepressant treatment. The results of such studies and others that demonstrate alterations in noncellular immune processed in depression indicate that the changes in immune function correlate with the severity and duration of the external and/or internal stressful stimuli. There is evidence that some of the immune changes are a reflection of increased plasma glucocorticoids that characterize both stress and depression. However, it is also apparent that the cytokines, prostaglandins, and corticotrophic releasing factor (CRF) also play an important role in initiating the behavioral and pathophysiological changes that are characteristic of both depression and chronic stress. This review attempts to critically assess the interplay between CRF, the immune and neurotransmitter systems, and behavior in chronic stress and depression.