The prevalence of affective disorders such as depression and anxiety is particularly high in patients with autoimmune diseases, including inflammatory skin diseases such as psoriasis, atopic dermatitis, and hidradenitis suppurativa. A dysregulated immune response has been linked to the precipitation of depression in many patient populations. However, studies examining the extent to which the underlying skin disease inflammatory processes contribute to depression and a subsequent decline in quality of life are limited. The published literature over the past 5 years was reviewed for evidence of a relationship between depression and inflammatory processes in the context of skin pathology. The findings, particularly the evidence from interventional clinical trials of targeted anti-cytokine therapies, suggest that pro-inflammatory cytokines associated with several skin diseases may be causally linked with the coexistent depressive symptomology.