Inflammation, the body's response to harmful external agents, has long been found to be associated with depressive symptoms. The relationship between inflammation and depression is well established in the general population of people with depression, but is less so among perinatal women. Depression in the perinatal period is a common disorder, however available data do not indicate that there is a specific inflammatory picture associated with perinatal depression. We suggest that perinatal depression may be a heterogeneous construct, and that inflammation may be relevant to it in the context of other inflammatory morbidities of pregnancy. In this review we explore the available support for the hypothesis that inflammation associated with depression can represent a precipitating insult for the development of gestational diabetes, a known inflammatory morbidity of pregnancy.