Depression is a prevalent and incapacitating condition with a significant impact on global morbidity and mortality. Although the immune system’s role in its pathogenesis is increasingly recognized, there is a lack of comprehensive understanding regarding the involvement of innate and adaptive immune cells. To address this gap, we conducted a multicenter case–control study involving 121 participants matched for sex and age. These participants had either an active (or current) major depressive episode (MDE) (39 cases) or a remitted MDE (40 cases), including individuals with major depressive disorder or bipolar disorder. We compared these 79 patients to 42 healthy controls (HC), analyzing their immunological profiles. In blood samples, we determined the complete cell count and the monocyte subtypes and lymphocyte T-cell populations using flow cytometry. Additionally, we measured a panel of cytokines, chemokines, and neurotrophic factors in the plasma. Compared with HC, people endorsing a current MDE showed monocytosis (p = 0.001), increased high-sensitivity C-reactive protein (p = 0.002), and erythrocyte sedimentation rate (p = 0.003), and an altered proportion of specific monocyte subsets. CD4 lymphocytes presented increased median percentages of activation markers CD69+ (p = 0.007) and exhaustion markers PD1+ (p = 0.013) and LAG3+ (p = 0.014), as well as a higher frequency of CD4+CD25+FOXP3+ regulatory T cells (p = 0.003). Additionally, patients showed increased plasma levels of sTREM2 (p = 0.0089). These changes are more likely state markers, indicating the presence of an ongoing inflammatory response during an active MDE. The Random Forest model achieved remarkable classification accuracies of 83.8% for MDE vs. HC and 70% for differentiating active and remitted MDE. Interestingly, the cluster analysis identified three distinct immunological profiles among MDE patients. Cluster 1 has the highest number of leukocytes, mainly given by the increment in lymphocyte count and the lowest proinflammatory cytokine levels. Cluster 3 displayed the most robust inflammatory pattern, with high levels of TNFα, CX3CL1, IL-12p70, IL-17A, IL-23, and IL-33, associated with the highest level of IL-10, as well as β-NGF and the lowest level for BDNF. This profile is also associated with the highest absolute number and percentage of circulating monocytes and the lowest absolute number and percentage of circulating lymphocytes, denoting an active inflammatory process. Cluster 2 has some cardinal signs of more acute inflammation, such as elevated levels of CCL2 and increased levels of proinflammatory cytokines such as IL-1β, IFNγ, and CXCL8. Similarly, the absolute number of monocytes is closer to a HC value, as well as the percentage of lymphocytes, suggesting a possible initiation of the inflammatory process. The study provides new insights into the immune system’s role in MDE, paving the ground for replication prospective studies targeting the development of diagnostic and prognostic tools and new therapeutic targets.