The high prevalence of depression in patients with systemic lupus erythematosus (SLE) may result from the psychosocial impact of this chronic disease as well as from a lesion of the central nervous system (CNS). Recently, the biological basis of depression in SLE has been confirmed, under the influence of several factors, which will be reviewed here. Published evidence points to the participation of biochemical and neurophysiological changes, induced by cytokines, in the development of neuropsychiatric symptoms. Through activation of the enzyme indoleamine 2,3-dioxygenase (IDO), the alteration of neurotransmitters' bioavailability, the modification of neuroplasticity and neurogenesis and the overstimulation of certain neural circuits, cytokines are capable of causing mood swings and depression. On the other hand, associated with the immune deregulation, the Hypothalamic-Pituitary-Adrenal (HPA) axis dysfunction correlates with neurophysiological changes involved in depression. Moreover, cerebro-reactive autoantibodies present in the cerebrospinal fluid (CSF), such as anti-N-methyl-D-aspartate(NMDA) and anti-ribosomal P, can cause significant damage to neurons in brain areas which are relevant to humor and behavior, potentially leading to depressive symptoms. In neuroanatomical terms, brain lesions in areas of the limbic system present in lupus patients, despite their unclear etiology, suggest impairment of cerebral achievement in emotional and behavioral functions. In summary, several biological changes are able to cause depression in SLE and their identification is essential to the management of the disease.