Depression is the most common psychiatric disorder worldwide. The burden of disease for depression goes beyond functioning and quality of life and extends to somatic health. Depression has been shown to subsequently increase the risk of, for example, cardiovascular, stroke, diabetes and obesity morbidity. These somatic consequences could partly be due to metabolic, immuno-inflammatory, autonomic and hypothalamic-pituitary-adrenal (HPA)-axis dysregulations which have been suggested to be more often present among depressed patients. Evidence linking depression to metabolic syndrome abnormalities indicates that depression is especially associated with its obesity-related components (for example, abdominal obesity and dyslipidemia). In addition, systemic inflammation and hyperactivity of the HPA-axis have been consistently observed among depressed patients. Slightly less consistent observations are for autonomic dysregulation among depressed patients. The heterogeneity of the depression concept seems to play a differentiating role: metabolic syndrome and inflammation up-regulations appear more specific to the atypical depression subtype, whereas hypercortisolemia appears more specific for melancholic depression. This review finishes with potential treatment implications for the downward spiral in which different depressive symptom profiles and biological dysregulations may impact on each other and interact with somatic health decline.