Compelling evidence demonstrates that some individuals suffering from major depressive disorder (MDD) exhibit increased levels of inflammation. Most studies focus on inflammation-related proteins, such as serum or plasma C-reactive protein (CRP). However, the immune-related modifications associated with MDD may be not entirely captured by CRP alone. Analysing mRNA gene expression levels, we aimed to identify broader molecular immune-related phenotypes of MDD. We examined 168 individuals from the non-interventional, case-control, BIODEP study, 128 with a diagnosis of MDD and 40 healthy controls. Individuals with MDD were further divided according to serum high-sensitivity (hs)CRP levels (n = 59 with CRP <1, n = 33 with CRP 1-3 and n = 36 with CRP >3 mg/L). We isolated RNA from whole blood and performed gene expression analyses using RT-qPCR. We measured the expression of 16 immune-related candidate genes: A2M, AQP4, CCL2, CXCL12, CRP, FKBP5, IL-1-beta, IL-6, ISG15, MIF, GR, P2RX7, SGK1, STAT1, TNF-alpha and USP18. Nine of the 16 candidate genes were differentially expressed in MDD cases vs. controls, with no differences between CRP-based groups. Only CRP mRNA was clearly associated with serum CRP. In contrast, plasma (proteins) IL-6, IL-7, IL-8, IL-10, IL-12/IL-23p40, IL-16, IL-17A, IFN-gamma and TNF-alpha, and neutrophils counts, were all differentially regulated between CRP-based groups (higher in CRP >3 vs. CRP <1 and/or controls), reflecting the gradient of CRP values. Secondary analyses on MDD individuals and controls with CRP values <1 mg/L (usually interpreted as 'no inflammation') confirmed MDD cases still had significantly different mRNA expression of immune-related genes compared with controls. These findings corroborate an immune-related molecular activation in MDD, which appears to be independent of serum CRP levels. Additional biological mechanisms may then be required to translate this mRNA signature into inflammation at protein and cellular levels. Understanding these mechanisms will help to uncover the true immune abnormalities in depression, opening new paths for diagnosis and treatment.