Objectives: This study investigates the potential of serum lipids as markers for depression, specifically focusing on symptoms such as suicidal ideation and anhedonia. In the context of advancing psychiatric biomarker research, this study aims to identify lipid-related markers and their underlying biological connections to depression, offering valuable insights for clinical practice and patient outcomes. Material and Methods: This case-control observational study was conducted over 18 months at a tertiary care center. The study enrolled patients aged 18–60 years diagnosed with depression attending outpatient and inpatient departments, totaling 100 subjects, including 100 cases and 100 controls, with gender and body mass index (BMI)-matched controls. Inclusion criteria for cases required depression diagnosis using the International Classification of Diseases-10-Diagnostic Criteria for Research criteria, while controls comprised healthy individuals within the same age range. Exclusion criteria encompassed comorbid psychiatric illnesses, substance use disorders (except tobacco), unstable medical conditions, lipid-lowering agent use, and a BMI over 30. Clinical assessments, including the Hamilton Depression Rating Scale-17 item scale, Modified Scale for Suicidal Ideation, and Snaith-Hamilton Pleasure Scale-Clinician administered, were administered. Serum lipid parameters, including triglycerides (TG), total cholesterol (TC), and high-density lipoprotein (HDL)-cholesterol, were measured. Results: In a cross-sectional case-control study (n = 200), we examined serum lipids as potential depression biomarkers. Cases (n = 100) matched controls in age, BMI, and gender. Cases had lower TC (153.27 mg/dL vs. 171.34 mg/dL, P < 0.01*). Serum TG and low-density lipoprotein also varied significantly with depression severity (P < 0.01*). However, HDL levels remained consistent. No significant associations were found between suicidal ideation and anhedonia, and post hoc analyses revealed significant differences (P ≤ 0.05) in lipid parameters across various depression severity levels. Conclusion: These findings suggest a complex relationship between serum lipids and depression, with potential implications for understanding the biological underpinnings of depression and its severity. However, there was no such relationship that was observed between serum lipids and anhedonia or suicidal ideation. These insights could inform clinical practices and improve patient outcomes in depression management.