Systemic lupus erythematosus (SLE) is an inflammatory disease with multiple and disabling consequences, including the psychological status. The prevalence of major depressive episodes among patients suffering from SLE is significantly higher than in healthy people, or people suffering from other inflammatory diseases. While it is obvious that its chronic disease status with a frequently pejorative ending, as well as the number of treatments it requires, are contributing factors, it is likely that due to its pathogenic mechanisms, SLE causes direct injury to the brain, leading to a depressive symptomatology. Numerous hypotheses are under consideration. We shall review them all, recall a few epidemiologic features, add histology and medical imaging contributions and discuss the importance of setting up a fitting therapy for such patients.