•This review was to summarize recent findings on underlying causes behind this relationship between cardiovascular disease (CVD) and depression.•Inflammation may play an important role in bridging the link between depression and CVD.•Depression and heart disease are intimately related, and the comorbidity between the two clinical conditions has been confirmed through many years of research.•These new finding have important clinical implications for prevention and early intervention of these conditions. Depression is a highly prevalent risk factor for both the onset of cardiovascular disease (CVD) and the mortality of CVD patients, and people suffering from CVD are more likely to develop depression than healthy individuals. The aim of this review is to summarize recent findings regarding the underlying relationship between CVD and depression. Literature search and review were conducted using PubMed, Google Scholar, Wanfang Med Online, and Baidu Scholar databases. CVD and depression are intimately related and researchers from around the world have proposed and validated various mechanisms that may potentially explain the comorbidity of CVD and depression. Recent studies have suggested that depression and CVD may manifest as two distinct clinical conditions in two different organs, the brain and the heart, respectively, but may also be linked by shared mechanisms. Of these, inflammation involving the immune system is thought to be a common mechanism of depression and heart disease, with specific inflammatory cytokines or pathways being potential targets for the prevention and treatment of the concurrent diseases. Therefore, inflammation may play an important role in bridging the link between depression and CVD, a finding that can have important clinical implications for the prevention and early intervention of these conditions.