There is some evidence that an immune response with an increased production of proinflammatory cytokines frequently accompanies major depression. The aim of this study was to determine the serum levels of interleukines (IL-1β, IL-6, IL-8, IL-10), tumor necrosis factor-alpha (TNF-α), interferon-gamma (IFN-γ) and immonuglobulines (IgG, IgA and IgM) levels and to examine the relationships between all above parameters and lipid parameters. The study group included 30 patients and 30 healthy volunteers. Although total cholesterol, HDL-cholesterol, and IgM levels were increased significantly (p < 0.05) in patients and compared to those of the controls, no statistically significant differences (p > 0.05) were observed with other parameters. IFN-γ were positively correlated with total cholesterol (r = 0.425; P = 0.019) and LDL-cholesterol (r = 0.391; P = 0.032) levels in patients. Other cytokines and immunoglobulins did not show any correlation with lipid parameters. It was concluded that although no differences was observed in cytokines and immunoglobulin levels in the present study, the dysregulation of the lipids and immune system including the cytokine network is associated with the etiology and pathophysiology of major depressive disorders.