Background While cytokines have been implicated in the pathophysiology of depression in adults, the potential role in younger age groups such as adolescents is less clear. This article therefore reviews the literature (a) to explore the relationship between cytokines and depression in adolescents, and (b) to examine how cytokines may be related to adolescent depression in the context of other neurobiological theories of depression. Method A systematic review of the scientific literature on the subject was conducted in February 2013, searching the Web of Knowledge, PubMed (Medline), PsycInfo and Cochrane electronic databases. Results Eighteen studies were identified measuring both depression or depressive symptoms and cytokines or immune markers in adolescents. Adolescents with depression show age‐specific characteristics of the immune and inflammatory system, specifically in NK cell activity and in pro‐inflammatory cytokines (such as IL‐1β and TNF‐α). In addition, the role of cytokines in adolescent depression is influenced by neurodevelopment, hormonal changes, stress and trauma. Conclusions There may be differences in the neurobiology of adolescent major depressive disorder (MDD) compared with adult MDD. Increased understanding of the role of cytokines in adolescent MDD may lead to improved outcomes in the treatment of adolescent depression.