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Inflammation has been shown to predict depression, but sensitivity to inflammation varies across individuals. Experimental studies administering potent pro-inflammatory agents have begun to characterize this sensitivity. However, risk factors for inflammation-associated depression in naturalistic contexts have not been determined. The present study examined key psychological and behavioral risk factors (state anxiety, perceived stress, negative affect, disturbed sleep, and childhood adversity) as potential moderators of the relationship between inflammation and depressive symptoms in a prospective longitudinal study of breast cancer survivors. Women with early stage breast cancer were recruited after completing primary cancer treatment (n
= 161). Depressive symptoms, inflammatory markers (CRP, IL-6, and sTNF-RII), and key risk factors were assessed post treatment (T1), at 6 and 12-month follow-ups (T2 and T3), and during a final follow-up (TF) 3-6 years after T1; childhood adversity was measured only at T3. Inflammatory markers were combined into a single inflammatory index prior to analyses. Women who reported higher levels of state anxiety, perceived stress, negative affect, and/or sleep disturbance at T1 (post-treatment) exhibited higher depressive symptoms at times when inflammation was higher than typical (interaction βs ranged from .06 to .08; all ps < .014). Results demonstrate the relevance of these risk factors for understanding inflammation-associated depression in a clinical context and could inform targeted strategies for prevention and treatment among at-risk populations.