Activation of the innate immune system is commonly associated with depression. Immunomodulatory drugs may have efficacy for depressive symptoms that are co-morbidly associated with inflammatory disorders. We report a large-scale re-analysis by standardized procedures (mega-analysis) of patient-level data combined from 18 randomized clinical trials conducted by Janssen or GlaxoSmithKline for one of nine disorders (N = 10,743 participants). Core depressive symptoms (low mood, anhedonia) were measured by the Short Form Survey (SF-36) or the Hospital Anxiety and Depression Scale (HADS), and participants were stratified into high (N = 1921) versus low-depressive strata based on baseline ratings. Placebo-controlled change from baseline after 4-16 weeks of treatment was estimated by the standardized mean difference (SMD) over all trials and for each subgroup of trials targeting one of 7 mechanisms (IL-6, TNF-α, IL-12/23, CD20, COX2, BLγS, p38/MAPK14). Patients in the high depressive stratum showed modest but significant effects on core depressive symptoms (SMD = 0.29, 95% CI [0.12-0.45]) and related SF-36 measures of mental health and vitality. Anti-IL-6 antibodies (SMD = 0.8, 95% CI [0.20-1.41]) and an anti-IL-12/23 antibody (SMD = 0.48, 95% CI [0.26-0.70]) had larger effects on depressive symptoms than other drug classes. Adjustments for physical health outcome marginally attenuated the average treatment effect on depressive symptoms (SMD = 0.20, 95% CI: 0.06-0.35), but more strongly attenuated effects on mental health and vitality. Effects of anti-IL-12/23 remained significant and anti-IL-6 antibodies became a trend after controlling for physical response to treatment. Novel immune-therapeutics can produce antidepressant effects in depressed patients with primary inflammatory disorders that are not entirely explained by treatment-related changes in physical health.