Kynurenine or tryptophan catabolite (TRYCAT) pathway contributes to the pathophysiology of major depression disorder (MDD) and major depressive episodes (MDE) in bipolar disorder and suicidal behaviors. The consequences of the overactivation of this pathway large reduced tryptophan (TRP) levels in peripheral blood and the CNS and increased levels of neurotoxic TRYCATs including kynurenine (KYN), 3-hydroxy kynurenine (3HK), quinolinic acid (QA), xanthurenic acid (XA), and picolinic acid (PA). However, other TRYCATs are protective, such as kynurenic acid (KA) and anthranilic acid (AA). Inflammation and cell-mediated immune activation along with oxidative and nitrosative stress (O&NS) may stimulate the first and rate-limiting enzyme of this pathway, namely indoleamine-2,3-dioxygenase (IDO). Therefore, during depression, balancing neuroprotective versus neurotoxic TRYCATs and balancing activation of the immune response system (IRS) versus the compensatory immune response system is crucial for achieving better treatment outcomes. Furthermore, targeting the causes of TRYCAT pathway activation (immune activation and O&NS) is probably the most effective strategy to treat depression. In the present review, we aim to provide a comprehensive explanation of the impact of TRYCATs in terms of pathophysiology and treatment of MDD and MDE.