This study compared the power of the novel inflammatory markers systemic immune inflammation index (SII) and the system inflammation response index (SIRI) versus the classical hematological indices neutrophil-to-lymphocyte ratio (NLR), monocyte-to-lymphocyte ratio (MLR), platelet-to-lymphocyte ratio (PLR), and platelet counts in distinguishing between major depressive disorder (MDD) with and without suicide attempts and distinguishing the non-response to selective serotonin reuptake inhibitor (SSRI) treatment. A total of 139 young adult MDD patients and 54 healthy controls (HC) were included. We found that, in comparison to HC, baseline NLR, PLR, SII, and SIRI were significantly higher in MDD patients, but only NLR and SII had area under the ROC curve (AUC) values greater than 0.7. MDD patients with suicide attempts (SA) showed significantly higher baseline MLR and SIRI, and a tendency to increase NLR compared to those without SA. In terms of AUC, sensitivity, and specificity, NLR was better than MLR, SIRI, SII, and PLR in distinguishing SA. Non-responders to SSRI treatment showed a significant increase in baseline platelet count and PLR compared to responders with an AUC greater than 0.7. These findings highlight the potential benefit of combining novel and classical hematological indices in predicting depression, suicide attempts and treatment response.