Plasma magnesium concentration alterations, hypercortisolaemia, and systemic inflammation are observed in major depressive disorder (MDD). This exploratory study examined whether, and to what extent, plasma magnesium is related to C-reactive protein (CRP) levels and cortisolaemia in MDD. The concentrations of plasma magnesium, salivary CRP, and baseline plasma cortisol were studied in 20, treatment-naïve MDD patients with short-illness-duration, first affective episodes and 20 matched controls. Depressed patients showed a basal score higher than 20 on the Hamilton Rating Scale for Depression (HAMD-17). Significantly higher magnesium (p=0.016) and baseline cortisol (p=0.01) concentrations were observed in MDD as compared to controls. No significant difference in CRP concentrations between the MDD and control groups was observed. A significant negative correlation was seen between magnesium and CRP in MDD (p<0.01), whereas no correlation was found in controls. A significant positive correlation was found between cortisol and CRP, both in MDD subjects (p=0.008) and controls (p=0.004). No significant correlations were observed between magnesium and cortisol levels. The study supports data for hypercortisolaemia in MDD, but provides no evidence of primary hypomagnesaemia or elevated CRP levels in drug-naïve MDD patients with short-illness-duration. The study supports the hypothesis linking hypercortisolaemia to systemic inflammation, with hypermagnesaemia exerting an immunomodulatory action at early stages of the disease.