In recent years, the cytokine hypothesis of depression has received considerable research attention, providing insights on the mechanism study and the therapeutic treatment of depressive disorders. Two classes of cytokines, pro-inflammatory cytokines and anti-inflammatory cytokines, are proven to be associated with depression. In this review, the focus is on the research of anti-inflammatory cytokines, which are believed to have a key role in alleviating depression-related symptoms. Anti-inflammatory cytokines, such as interleukin-10, interleukin-1 receptor antagonist, interleukin-4, interleukin-13, transforming growth factor-β, and adiponectin, show decreased concentrations during depressive episodes. Anti-inflammatory cytokines participate in the regulation mechanism of depression through antagonizing pro-inflammatory cytokines and interacting with MAPK signaling, neurotransmitters, and glucocorticoids. Various kinds of antidepressants can lead to an increased secretion of anti-inflammatory cytokines, which might be the action mechanism of antidepressants. Overall, accumulating evidences from the literature demonstrate positive prospects of using anti-inflammatory cytokines as a therapeutic alternative to treat depression.