Traditionally, there has been concern that depression may be associated with diminished immune function, such that people who are depressed may be more vulnerable to infectious diseases.
However, in recent years there has been increasing evidence of immune activation (e.g. higher levels of markers of inflammation in peripheral blood) in people who are depressed. It has been hypothesized that immune activation in depression may be a mechanism by which depression causes cardiovascular disease and increases mortality in cardiovascular disease. These observations dovetail with reports that certain immune modulators (particularly interferons), when used in the treatment of hepatitis C and malignant melanoma may trigger depression, and that antidepressants may prevent this from happening.
These possibilities cast new interest on the observation that allergies may be associated with depression. After all, allergies represent an immunologic "over response" to an environmental stimulaus. Unfortunately, the existing reports have been inadequate to explore this possibility. We have looked at this in a Canadian cohort in a recently published study and found that people with clinical depression have a higher risk of developing allergies. A full report can be found here.