Objectives To systematically review the efficacy and safety of anti-inflammatory agents for patients with major depressive disorders. Methods We searched the literature to identify potentially relevant randomised controlled trials (RCTs) up to 1 January 2019. The primary outcome was efficacy, measured by mean changes in depression score from baseline to endpoint. Secondary outcomes included response and remission rates and quality of life (QoL). Safety was evaluated by incidence of classified adverse events. Heterogeneity was examined using the I-2 and Q statistic. Pooled standard mean differences (SMDs) and risk ratios (RRs) were calculated. Subgroup meta-analyses were conducted based on type of treatment, type of anti-inflammatory agents, sex, sponsor type and quality of studies. Results Thirty RCTs with 1610 participants were included in the quantitative analysis. The overall analysis pooling from 26 of the RCTs suggested that anti-inflammatory agents reduced depressive symptoms (SMD -0.55, 95% CI -0.75 to -0.35, I-2=71%) compared with placebo. Higher response (RR 1.52, 95% CI 1.30 to 1.79, I-2=29%) and remission rates (RR 1.79, 95% CI 1.29 to 2.49, I-2=41%) were seen in the group receiving anti-inflammatory agents than in those receiving placebo. Subgroup analysis showed a greater reduction in symptom severity in both the monotherapy and adjunctive treatment groups. Subgroup analysis of non-steroidal anti-inflammatory drugs, omega-3 fatty acids, statins and minocyclines, respectively, disclosed significant antidepressant effects for major depressive disorder (MDD). For women-only trials, no difference in changes of depression severity was found between groups. Subanalysis stratified by sponsor type and study quality led to the same outcomes in favour of anti-inflammatory agents in both subgroups. Changes of QoL showed no difference between the groups. Gastrointestinal events were the only significant differences between groups in the treatment periods. Conclusions Results of this systematic review suggest that anti-inflammatory agents play an antidepressant role in patients with MDD and are reasonably safe.