Here's a wonderful article from MindBodyGreen contributing author Ellen Vora, M.D. - that talks about how both depression and anxiety can be linked to inflammation.
From the article:
"There is, however, an emerging theory of depression called the cytokine or inflammatory model of depression. The idea here is that if your body is inflamed, then there are inflammatory molecules in your bloodstream. These molecules affect all your organs, including your brain. When our brain "hears" that our body is inflamed, we are programmed to feel down and tired with a sense of malaise, losing our appetite, tending to isolate ourselves socially, and generally wanting to crawl under a rock."