Multiple Sclerosis (MS) and Rheumatoid Arthritis (RA) are common, chronic, autoimmune diseases affecting many people worldwide. While clinically very different in their phenotype, both diseases are thought to have an autoimmune-mediated origin. MS and RA share genetic similarities, and in both diseases, antibodies against host antigens can be found. Aside from the well-known somatic symptoms, many RA patients also show signs and symptoms of psychiatric illnesses, of which depression is the most common diagnosis. In this commentary, both diseases will be introduced and briefly characterized individually and then compared. Depression will be introduced as one of the most frequent psychiatric diseases in the general population. This paper focuses on presenting the possible causes, including psychosocial factors, genetics, and immunologic mechanisms. Hypotheses aimed to explain the higher incidence of depression in these two seemingly different autoimmune diseases will be discussed.