We examined whether inflammation is uniformly associated with all depressive and anxiety symptoms, and whether these associations are potentially causal. Data was from 147,478 individuals from the UK Biobank (UKB) and 2,905 from the Netherlands Study of Depression and Anxiety (NESDA). Circulating C-reactive protein (CRP) was measured in both cohorts and interleukin-6 (IL-6) in NESDA. Genetic instruments for these proteins were obtained from published GWAS and UKB. Depressive and anxiety symptoms were assessed with self-report questionnaires. In NESDA, neurovegetative (appetite, sleep, psychomotor) symptoms were disaggregated as increased vs. decreased. In joint analyses, higher CRP was associated with depressive symptoms of depressed mood (OR = 1.06, 95% CI = 1.05–1.08), altered appetite (OR = 1.25, 95%CI = 1.23–1.28), sleep problems (OR = 1.05, 95%CI = 1.04–1.06), and fatigue (OR = 1.12, 95% CI = 1.11–1.14), and with anxiety symptoms of irritability (OR = 1.06, 95% CI = 1.05–1.08) and worrying control (OR = 1.03, 95% CI = 1.02–1.04). In NESDA, higher IL-6 was additionally associated with anhedonia (OR = 1.30, 95% CI = 1.12–1.52). Higher levels of both CRP (OR = 1.27, 95% CI = 1.13–1.43) and IL-6 (OR = 1.26, 95% CI = 1.07–1.49) were associated with increased sleep. Higher CRP was associated with increased appetite (OR = 1.21, 95% CI = 1.08–1.35) while higher IL-6 with decreased appetite (OR = 1.45, 95% CI = 1.18–1.79). In Mendelian Randomisation analyses, genetically predicted higher IL-6 activity was associated with increased risk of fatigue (estimate = 0.25, SE = 0.08) and sleep problems (estimate = 0.19, SE = 0.07). Inflammation was associated with core depressive symptoms of low mood and anhedonia and somatic/neurovegetative symptoms of fatigue, altered sleep and appetite changes. Less consistent associations were found for anxiety. The IL-6/IL-6R pathway could be causally linked to depression. Experimental studies are required to further evaluate causality, mechanisms, and usefulness of immunotherapies for depressive symptoms.