I came across the following articles.

http://www.biopsychiatry.com/immunesystem/index.html

http://www.biopsychiatry.com/vagimm.htm

http://inflammablog.blogspot.com/2007_12_09_archive.html

After seeing a late night CBS report on the possible link of inflammation to depression, and a clinical trial on an Omega-3 compound to treat it, my wife and I did a little digging.  It appears that both inflammation and treatment of various antibiotics can possibly lead to certain molecules affecting the brain.  I didn't understand everything I read, but essentially, there may be a misconception that sickness leads to depression.  It's quite possible treatment of sicknesses leads to depression.

There could be a huge pharmaceutical impact with this research.  When doctors prescribe drugs that kill infections, etc, they may be introducing you to a worse problem of depression and suicide.  One of the examples was where a woman was being treated for cancer became suicidal and attempted to burn herself to death.  It's thought that the drugs caused the depression, not the actual psychological impacts of having cancer and going through treatment.

I'll be doing more research on the subject, since I have a vested interest in the connection to vagal paralysis, headaches, and lethargy.