Women have a consistently higher prevalence of major depressive disorder (MDD) than men. Hypotheses implicating hypothalamic-pituitary -adrenal, -gonadal, and -thyroid axes, immune response, genetic factors, and neurotransmitters have emerged to explain this difference. However, more evidence for these hypotheses is needed and new explanations must be explored. Here, we investigated sex differences in MDD markers using multiplex immunoassay measurements of 171 serum molecules in individuals enrolled in the Netherlands Study of Depression and Anxiety (N-MDD = 231; N-control = 365). We found 28 sex-dependent markers of MDD, as quantified by a significant interaction between sex and log(2-)transformed analyte concentration in a logistic regression with diagnosis (MDD/control) as the outcome variable (p < 0.05; q < 0.30). Among these were a number of male-specific associations between MDD and elevated levels of proteins involved in immune response, including C-reactive protein, trefoil factor 3, cystatin-C, fetuin-A, beta 2-microglobulin, CD5L, FASLG receptor, and tumor necrosis factor receptor 2. Furthermore, only male MDD could be classified with an accuracy greater than chance using the measured serum analytes (area under the ROC curve = 0.63). These findings may have consequences for the generalization of inflammatory hypotheses of depression to males and females and have important implications for the development of diagnostic biomarker tests for MDD. More studies are needed to validate these results, investigate a broader range of biological pathways, and integrate this data with brain imaging, genetic, and other relevant data.