Background: The hypothalamic-pituitary-adrenal (HPA) axis, inflammatory processes and neurotrophic factor systems are involved in pathogenesis of both epilepsy and depressive disorders. The study aimed to explore these systems in patients with focal epilepsy (PWE, n = 76), epilepsy and comorbid depression (PWCED n = 48), and major depressive disorder (PWMDD, n = 62) compared with healthy controls (HC, n = 78). Methods: Parameters of the HPA axis, neurotrophic factors, and TNF-α were measured in blood serum along with the hemogram. Results: Serum cortisol level was augmented in PWE, PWCED, and PWMDD compared with HC and was higher in PWMDD than in PWE. Serum cortisol negatively correlated with Mini–Mental State Examination (MMSE) score in PWE, and positively with depression inventory–II (BDI-II) score in PWMDD. Only PWMDD demonstrated elevated plasma ACTH. Serum TNF-α, lymphocytes, and eosinophils were augmented in PWMDD; monocytes elevated in PWE and PWCED, while neutrophils were reduced in PWE and PWMDD. Serum BDNF was decreased in PWE and PWCED, CNTF was elevated in all groups of patients. In PWE, none of above indices depended on epilepsy etiology. Conclusions: The results confirm the involvement of HPA axis and inflammatory processes in pathogenesis of epilepsy and depression and provide new insights in mechanisms of epilepsy and depression comorbidity.