Several epidemiological studies have clearly shown the high co-morbidity between depression and Cardiovascular Diseases (CVD). Different studies have been conducted to identify the common pathophysiological events of these diseases such as the overactivation of the hypothalamic- pituitary-adrenal axis and, most importantly, the dysregulation of immune system which causes a chronic pro-inflammatory status. The biological link between depression, inflammation, and CVD can be related to high levels of pro-inflammatory cytokines, such as IL-1β, TNF-α, and IL-6, released by macrophages which play a central role in the pathophysiology of both depression and CVD. Pro-inflammatory cytokines interfere with many of the pathophysiological mechanisms relevant to depression by upregulating the rate-limiting enzymes in the metabolic pathway of tryptophan and altering serotonin metabolism. These cytokines also increase the risk to develop CVD, because activation of macrophages under this pro-inflammatory status is closely associated with endothelial dysfunction and oxidative stress, a preamble to atherosclerosis and atherothrombosis. Carnosine (β-alanyl-L-histidine) is an endogenous dipeptide which exerts a strong antiinflammatory activity on macrophages by suppressing reactive species and pro-inflammatory cytokines production and altering pro-inflammatory/anti-inflammatory macrophage polarization. This dipeptide exhibits antioxidant properties scavenging reactive species and preventing oxidative stress-induced pathologies such as CVD. In the present review we will discuss the role of oxidative stress and chronic inflammation as common pathophysiological events both in depression and CVD and the preclinical and clinical evidence on the protective effect of carnosine in both diseases as well as the therapeutic potential of this dipeptide in depressed patients with a high co-morbidity of cardiovascular diseases.