Depression and bipolar disorder are two major psychiatric illnesses whose pathophysiology remains elusive. Newly emerging data support the hypothesis that the dysfunction of the immune system might be a potential factor contributing to the development of these mental disorders. The most common organ affected by autoimmunity is the thyroid; therefore, the link between autoimmune thyroid disorders and mental illnesses has been studied since the 1930s. The aim of this review is to discuss the associations between thyroid autoimmunity, depression and bipolar disorder.