Cytokines are small protein molecules that are the core of communication between immune system cells, and even between immune system cells and cells belonging to other tissue types. They are actively secreted by immune cells as well as other cell types. Cytokines that are produced by immune cells form a subset known as lymphokines. Their action is often local, but sometimes can have global effects on the whole body. The first lymphokines were identified in the mid-1960's, with the best known being migration inhibition factor (MIF), simultaneously discovered by John David and Barry Bloom. The first cytokines were identified in cultures of kidney cells, by Stanley Cohen and his colleagues, in 1974.
There are a lot of known cytokines that have both stimulating and suppressing action on lymphocyte cells and immune response. Some of the better known cytokines include: histamine, prostaglandin, TNF-±, IL-1, and IL-6. There are three classes of cytokines.
Cytokines act by binding to their cell-specific receptors. These receptors are located in the cell membrane and each allows a distinct signal cascade to start in the cell, that eventually will lead to biochemical and phenotypical changes in the target cell. Typically, receptors for cytokines are also tyrosine kinases.
Some studies have shown links between cytokine levels and clinical depression  (http://www.mcmaster.ca/inabis98/anisman/yirmiya0194/two.html).