Both depression and cardiovascular disease are major public health problems. Growing evidence shows that depression is a risk factor for the development of coronary artery disease (CAD). However, the exact mechanisms underlying the interplay between depression and CAD remain to be elucidated. Depression adversely affects autonomic and hormonal homeostasis, resulting in metabolic abnormalities, inflammation, increased platelet aggregation and endothelial dysfunction. All of these pathological features lead to atherothrombosis and cardiovascular events. However, there is no clear evidence that anti-depressant drugs or psychotherapy will reduce the risk or improve the outcome of CAD. Recent studies suggest that the L-arginine-nitric oxide (NO) pathway is involved in the genesis of depression. NO has many physiological functions, including vasodilatation, neurotransmission and platelet aggregation inhibition. It is synthesised from the cationic amino acid L-arginine by a family of enzymes: NO synthases (NOS). There are three NOS isoforms: inducible NOS (iNOS), endothelial NOS and neuronal NOS (nNOS). The availability and transport of L-arginine modulate rates of NO biosynthesis in circulating blood cells and vasculature, which provides a protective effect against cardiovascular disease. In depressive patients, the L-arginine-nitric oxide pathway seems to be impaired. The present review seeks a better understanding of the mechanisms that could identify depression as a cardiovascular risk factor and introduce new possible therapeutic interventions.