Major depressive disorder (MDD) is a complex and multi-factorial disorder. Although genetic factors and other molecular aspects of MDD have been widely studied, the underlying pathological mechanisms are still mostly unknown. We sought to investigate the pathophysiology of MDD by identifying and characterising serum molecular differences and their correlation to symptom severity in first onset, antidepressant drug-naïve MDD patients. We performed an exploratory molecular profiling study on serum samples of MDD patients and controls using multiplex immunoassay and label-free liquid chromatography mass spectrometry in data independent mode (LC-MSE). We included two independent cohorts of first onset, antidepressant drug-naïve MDD patients (n = 23 and 15) and matched controls (n = 42 and 21) in our study in order to validate the results. The main outcome included the following list of circulatory molecules changing and/or correlating to symptom severity: angiotensin-converting enzyme, acute phase proteins (e.g. ferritin and serotransferrin), brain-derived neurotrophic factor, complement component C4-B, cortisol, cytokines (e.g. macrophage migration inhibitory factor and interleukin-16), extracellular newly identified receptor for advanced glycosylation end products-binding protein, growth hormone and superoxide dismutase-1. This study provides evidence of an increased pro-inflammatory and oxidative stress response, followed by a hyperactivation of the HPA-axis in the acute stages of first onset MDD, as well as a dysregulation in growth factor pathways. These findings help to elucidate MDD related pathways in more detail and further studies may lead to identification of novel drug targets, including components of the inflammatory and oxidative stress response.