Epidemiological evidence indicates the presence of dysregulated homeostatic biological pathways in depressed patients, such as increased inflammation and disrupted energy-regulating neuroendocrine signaling (e.g., leptin, insulin). Alterations in these biological pathways may explain the considerable comorbidity between depression and cardiometabolic conditions (e.g., obesity, metabolic syndrome, diabetes) and represent a promising target for intervention. This review describes how immunometabolic dysregulations vary as a function of depression heterogeneity by illustrating that such biological dysregulations map more consistently to atypical behavioral symptoms reflecting altered energy intake/expenditure balance (hyperphagia, weight gain, hypersomnia, fatigue, and leaden paralysis) and may moderate the antidepressant effects of standard or novel (e.g., anti-inflammatory) therapeutic approaches. These lines of evidence are integrated in a conceptual model of immunometabolic depression emerging from the clustering of immunometabolic biological dysregulations and specific behavioral symptoms. The review finally elicits questions to be answered by future research and describes how the immunometabolic depression dimension could be used to dissect the heterogeneity of depression and potentially to match subgroups of patients to specific treatments with higher likelihood of clinical success.