Depression has long been associated with cardiovascular morbidity and mortality. We have reviewed the various factors (hormonal, inflammatory, neuroimmune, and behavioral) involved in depression and associated cardiovascular risk factors. Elevation of glucocorticoids due to activation of the hypothalamic-pituitary-adrenal (HPA) axis in chronic stress of depression results in hyperglycemia, causing insulin resistance, which is a risk factor for heart diseases. This increase in glucocorticoids also stimulates the production of pro-inflammatory cytokines interleukin (IL)-1, IL-6, and tumor necrosis factor-alpha. Literature also showed that chronic stress in depression activates platelet receptors resulting in endothelial dysfunction and cardiovascular morbidity. It has been shown by various studies that depressed patients are more prone to unhealthy lifestyles like eating more processed food, physical inactivity, smoking, and alcohol consumption resulting in weight gain and insulin resistance. Further in the literature, we reviewed some genetic factors associated with depression and cardiovascular outcomes. Elevated glucocorticoids reduce brain-derived neurotrophic factor-dependent upregulation of glutamate receptors involved in various neural circuits associated with depression and neural diseases by suppressing microRNA-132 expression. In depressed obese patients, proprotein convertase subtilisin/kexin type 9 (PCSK-9), a regulator of low-density lipoprotein cholesterol, has been shown to be associated with insulin resistance. This review sheds light on the importance of diagnostic, preventive, and treatment strategies in depressed patients to reduce overall cardiovascular morbidity and mortality.