Inflammation is associated with depressive symptoms and innate immune mechanisms are likely causal in some cases of major depression. Systemic inflammation also perturbs brain function and microstructure, though how these are related remains unclear. We recruited N = 46 healthy controls, and N = 83 depressed cases stratified by CRP (> 3 mg/L: N = 33; < 3 mg/L: N = 50). All completed clinical assessment, venous blood sampling for C-reactive protein (CRP) assay, and brain magnetic resonance imaging (MRI). Micro-structural MRI parameters including proton density (PD), a measure of tissue water content, were measured at 360 cortical and 16 subcortical regions. Resting-state fMRI time series were correlated to estimate functional connectivity between individual regions, as well as the sum of connectivity (weighted degree) of each region. Multiple tests for regional analysis were controlled by the false discovery rate (FDR = 5%). We found that CRP was significantly associated with PD in precuneus, posterior cingulate cortex (pC/pCC) and medial prefrontal cortex (mPFC); and with functional connectivity between pC/pCC, mPFC and hippocampus. Depression was associated with reduced weighted degree of pC/pCC, mPFC, and other nodes of the default mode network (DMN). Thus CRP-related increases in proton density—a plausible marker of extracellular oedema—and changes in functional connectivity were anatomically co-localised with DMN nodes that also demonstrated significantly reduced hubness in depression. We suggest that effects of peripheral inflammation on DMN node micro-structure and connectivity may mediate inflammatory effects on depression.