Objectives Pro‐inflammatory cytokines may play a role in learning and memory difficulties and may be exacerbated in late‐life depression (LLD), where pro‐inflammatory markers are already elevated because of aging and age‐related vascular risk. Methods Learning and memory, and pro‐inflammatory cytokines‐Interleukin‐1β (IL‐1β), tumor necrosis factor‐α (TNF‐α), and Interleukin‐6 (IL‐6) were measured in 24 individuals with LLD and 34 healthy older adults (HOA). Hippocampal volumes were segmented using Freesurfer software. Results Pro‐inflammatory cytokines were higher in LLD compared with HOA. Regression analyses demonstrated that educational level and right hippocampal volume significantly contributed to explaining the variance in learning. For memory performance, educational level, right hippocampal volume and a group‐by‐IL‐6 interaction significantly contributed to the model. Conclusions High levels of IL‐6 impact cognition in LLD but not HOA. Results suggest that high levels of inflammation alone are not sufficient to account for cognitive difficulties, but may interact with other factors in at‐risk populations like LLD, to contribute to memory difficulties. Copyright © 2017 John Wiley & Sons, Ltd.