With the high incidence and frequency of depression, research on regulation of depression by the inflammatory system has become a hot topic. As an important means to improve depression, current research has confirmed that proinflammatory factors, such as the interleukin-1 family, and TNF-α, and TGF-β, through influencing HPA axis activity, participate in the mechanism of regulating depression, and exercise improves the occurrence and development of depression. However, research on the mechanism of exercise mediated by the inflammatory system in improving depression needs to be explored. Therefore, this review explored the role of the inflammatory system in depression and its important regulatory role in exercise to improve depression from the aspects of proinflammatory and anti-inflammatory cytokines. This will contribute to a more comprehensive understanding of the role of the inflammatory system in the occurrence of depression, and provides new ideas and perspectives to study the mechanism of exercise to improve depression.