Adipokines are signaling molecules linking the endocrine and immune systems. As part of the adipose tissue secretome, they create a complex network between many organs and systems in the human body. Selected adipokines released into the bloodstream across the blood-brain barrier regulate various central nervous system functions like appetite, satiety, sympathetic nerve outflow, temperature, energy expenditure, and stress response. This ability has been proven, for example, for leptin, resistin, and adiponectin. The pro-inflammatory nature of most adipokines promotes the development and maintenance of peripheral and central inflammation. Thus, adipokines fit into the inflammatory theory of affective disorders, including both major depression and bipolar disorder. The theory is supported by laboratory markers of inflammation diagnosed in affective disorders. Pro-inflammatory adipokines may substantially impact the hypothalamic-pituitary-adrenal axis and neurotransmitters critical for regulating mood and cognitive functions. Therefore, adipokines are potential diagnostic and prognostic markers, therapeutic targets, and drug response markers in affective disorders.