Depression, as a mental disorder, affects more than 300 million people of all ages every year. It is said to be associated with neuroinflammation. Depression has affected women more than men. Over the world, people are disabled due to depression rather than any other condition. Neuroinflammation is the brain’s reaction to injury. Apparently there is a link between neuroinflammation and depression. Vitamins have a prominent effect on brain-related diseases such as depression. This review was done to determine the relationship of neuroinflammation and depression and in order to analyze role of vitamins on it. Vitamin B₁ is said to be effective in improving depression. The role of vitamin B₂, however, is not clearly figured out, some studies showed it is effective while others show the opposite. Vitamin B₃ is proved to have a role in depression, although further investigation is needed to realize the relationship. One study showed that B₆ is no better than a placebo in treatment of depression although in another study it was observed that deficiency of pyridoxine is related to symptoms of depression. There was observed a conflict in the role of folic acid, some studies suggested its role in improving depression while others stated that it may not reduce the condition’s signs. Such a conflict exists in the matter of vitamin B₁₂. Further studies are advised to assure the idea that B₁₇ may have an effect on depression due to the conflicting results of different studies.