The pathophysiology of major depressive disorder (MDD) remains obscure. Recently, the microbiota-gut-brain (MGB) axis’s role in MDD has an increasing attention. However, the specific mechanism of the multi-level effects of gut microbiota on host metabolism, immunity, and brain structure is unclear. Multi-omics approaches based on the analysis of different body fluids and tissues using a variety of analytical platforms have the potential to provide a deeper understanding of MGB axis disorders. Therefore, the data of metagenomics, metabolomic, inflammatory factors, and MRI scanning are collected from the two groups including 24 drug-naïve MDD patients and 26 healthy controls (HCs). Then, the correlation analysis is performed in all omics. The results confirmed that there are many markedly altered differences, such as elevated Actinobacteria abundance, plasma IL-1β concentration, lipid, vitamin, and carbohydrate metabolism disorder, and diminished grey matter volume (GMV) of inferior frontal gyrus (IFG) in the MDD patients. Notably, three kinds of discriminative bacteria, Ruminococcus bromii, Lactococcus chungangensis, and Streptococcus gallolyticus have an extensive correlation with metabolome, immunology, GMV, and clinical symptoms. All three microbiota are closely related to IL-1β and lipids (as an example, phosphoethanolamine (PEA)). Besides, Lactococcus chungangensis is negatively related to the GMV of left IFG. Overall, this study demonstrate that the effects of gut microbiome exert in MDD is multifactorial.