There is bidirectional communication between the HPA axis and the immune system. Cytokines activate the HPA axis and thus lead to the release of cortisol, the stress hormone, which ordinarily suppresses the immune response. Cortisol also inhibits its own release and thus the body is able to maintain a stable immune response through a tightly regulated feedback inhibition system. This regulation mechanism seems to be dysfunctional in depressive disorders and is thought to occur because of cytokine mediated receptor resistance to cortisol, thus impairing feedback inhibition. This essentially means that cytokines make cortisol unable to act on the receptors that would inhibit its release. Long story short — the HPA axis is hyperactive because of cytokines, leading to a chronic stress response because cytokines impair the body’s ability to regulate it — thus leading to depressive symptoms. - medium.com