To examine immune-inflammatory and oxidative (I&O) biomarkers in major depression (MDD) and its related phenotypes, we recruited 114 well-phenotyped depressed patients and 50 healthy controls and measured serum levels of interleukin (IL)-1α, soluble IL-1 receptor antagonist (sIL-1RA), soluble IL-2 receptor (sIL-2R), soluble IL-6 receptor (sIL-6R), soluble tumor necrosis factor receptor 60 and 80 kDa (sTNF-R1/R2), and thiobarbituric acid reactive substances (TBARS). Obtained results indicate that MDD is characterized by increased sIL-1RA, sTNF-R1, and TBARS concentrations. Melancholic depression is associated with increased sIL-6R but lowered IL-1α levels. A current episode of depression is accompanied by significantly increased sIL-6R compared to the remitted state. Treatment-resistant depression (TRD) is accompanied by increased sIL-6R and TBARS but lowered sTNF-R2 levels compared to non-TRD patients. These immune markers are not significantly correlated with Hamilton Depression Rating Scale (HDRS), Montgomery-Asberg Depression Scale (MADRS), number episodes, or age at onset. Our findings show that increased sIL-1RA, sTNF-R1, and TBARS levels may be trait markers of depression, while increased sIL-6R levels may be a state marker of melancholia and an acute phase of depression. MDD is accompanied by increased lipid peroxidation and simultaneous activation of immune pathways, and the compensatory anti-inflammatory reflex system (CIRS). TRD is characterized by highly increased oxidative stress and probably increased TNFα and IL-6 trans-signalling. Novel treatments for major depression should target oxidative stress pathways, while new treatments for TRD should primary target lipid peroxidation and also activated immune-inflammatory pathways.