Depression is a complex progressive disorder accompanied by activation of inflammatory and Th-1 driven pathways, oxidative and nitrosative stress (O&NS), lowered antioxidant levels, mitochondrial dysfunctions, neuroprogression and increased bacterial translocation. In depression, activation of immuno-inflammatory pathways is associated with an increased risk for cardio-vascular disorder (CVD). Because of the inflammatory component, the use of cyclooxygenase 2 (COX-2) inhibitors, such as celecoxib, has been advocated to treat depression. Electronic databases, i.e. PUBMED, Scopus and Google Scholar were used as sources for this selective review on the effects of COX-2 inhibitors aggravating the abovementioned pathways. COX-2 inhibitors may induce neuroinflammation, exacerbate Th1 driven responses, increase lipid peroxidation, decrease the levels of key antioxidants, damage mitochondria and aggravate neuroprogression. COX-2 inhibitors may aggravate bacterial translocation and CVD through Th1-driven mechanisms. COX-2 inhibitors may aggravate the pathophysiology of depression. Since Th1 and O&NS pathways are risk factors for CVD, the use of COX-2 inhibitors may further aggravate the increased risk for CVD in depression. Selectively targeting COX-2 may not be a viable therapeutic approach to treat depression. Multi-targeting of the different pathways that play a role in depression is more likely to yield good treatment results.