Antidepressant treatment for major depressive disorder remains suboptimal with response rates of just over 50%. Although treatment guidelines, algorithms and clinical keys are available to assist the clinician, the process of finding an effective pharmacotherapy to maximise benefit for the individual patient is largely by "trial and error" and remains challenging. This highlights a clear need to identify biomarkers of treatment response to help guide personalised treatment strategies. We have carried out the largest multiplex immunoassay based longitudinal study to date, examining up to 258 serum markers involved in immune, endocrine and metabolic processes as potential biomarkers associated with treatment response in 332 depression patients recruited from four independent clinical centres. We demonstrated for the first time that circulating Apolipoprotein A-IV, Endoglin, Intercellular Adhesion Molecule 1, Tissue Inhibitor of Metalloproteinases 1, Plasminogen Activator Inhibitor 1, Thrombopoietin, Complement C3, Hepatocyte Growth Factor and Insulin-like Growth Factor-Binding Protein 2 were associated with response to different antidepressants. In addition, we showed that specific sets of immune-endocrine proteins were associated with response to Venlafaxine (serotonin-norepinephrine reuptake inhibitor), Imipramine (tricyclic antidepressant) and other antidepressant drugs. However, we were not able to reproduce the literature findings on BDNF and TNF-$\alpha$, two of the most commonly reported candidate treatment response markers. Despite the need for extensive validation studies, our preliminary findings suggest that a pre-treatment immune-endocrine profile may help to determine a patient's likelihood to respond to specific antidepressant and/or alternative treatments such as anti-inflammatory drugs, providing hope for future personalised treatment approaches.