Background: The pathophysiology of depression is associated with the hyperactivity of immune inflammatory responses. Cyclooxygenase‐2 inhibitors such as celecoxib reduce the production of pro‐inflammatory cytokines. The purpose of the present investigation was to assess the efficacy of celecoxib as an adjuvant agent in the treatment of major depression in a six‐week double blind and placebo controlled trial. Methods: Forty adult outpatients who met the DSM‐IV‐TR criteria for major depression participated in the trial. Patients have a baseline Hamilton Rating Scale for Depression score of at least 18. Patients were allocated in a random fashion: 20 to fluoxetine 40 mg/day plus celecoxib 400 mg/day (200 mg bid) (morning and evening) and 20 to fluoxetine 40 mg/day plus placebo. Patients were assessed by a psychiatrist at baseline and after 1, 2, 4, and 6 weeks after the medication started. Results: Although both protocols significantly decreased the score of Hamilton Rating Scale for Depression over the trial period, the combination of fluoxetine and celecoxib showed a significant superiority over fluoxetine alone in the treatment of symptoms of major depression. There were no significant differences in the two groups in terms of observed side effects. Conclusion: The results of this study suggest that celecoxib may be an effective adjuvant agent in the management of patients with major depression and anti‐inflammatory therapies should be further investigated. Depression and Anxiety, 2009. © 2009 Wiley‐Liss, Inc.