Depression is four to five times as common in chronic heart failure (CHF) patients as in the general population, may confer a higher risk of developing CHF in susceptible populations, and is significantly related to higher hospital readmission rates and increased mortality in established CHF. This effect may be mediated via the pathophysiological mechanisms that are shared between CHF and depression, including increased hypothalamic-pituitary-adrenal function, sympathoadrenal hyperactivity, diminished heart-rate variability and excessive pro-inflammatory cytokine activation. Each of these pathways of linkage represents a potential therapeutic target to improve outcome in CHF. This paper reviews the recent investigational observations that clarify the direct effects of antidepressants on immune functions, as well as the indirect effects of anticytokine pharmacological agents on depressive symptoms in CHF. With recent evidence suggesting that selective serotonin re-uptake inhibitors improve survival after myocardial infarction in patients with depression, diagnosis and treatment of this comorbidity may beneficially affect the functional capacity and prognosis of CHF patients.