Introduction: Numerous theories have been proposed to substantiate the etiopathogenesis of depression. Recently, the hypothesis involving the oxidative stress (OS) pathway has been explored. Hence, potential markers are also being investigated for their role in depression. We aimed to assess the serum malondialdehyde (MDA) and serum lipid levels in individuals with depression and controls and explore associated factors. Methodology: A semi-structured questionnaire, complete with a mandatory consent form and a reliable, validated scale, namely the Hamilton Depression scale (HAM-D), was used. The method of sampling was purposive, with 100 depression cases in the psychiatry outpatient being included and 50 age-matched, gender-matched controls. Blood was collected from both groups to evaluate serum MDA and serum Lipid levels. Appropriate statistics using SPSS 20 were administered. Results: Our study had a female preponderance in cases, with 38% having major depressive disorder (MDD), 50% of whom showed suicidal ideas, and 10% had a prior history of deliberate self-harm. Mean HAM-D scores were higher in cases than controls, 18.57 ± 6.02, and mean MDA levels were higher in cases, 2.5 ± 1.02 mmol/L. HDL levels were lower in depression cases compared to controls, 38.34 ± 7.442. An inverse correlation was seen between mean serum MDA levels and HDL levels in depression cases. A significant relationship was observed between the parameters of depression and serum MDA levels. Conclusion: Significantly elevated mean serum MDA levels were observed in depression cases, along with significantly lowered mean HDL values compared to controls. We found a positive correlation between serum MDA levels and the severity, recurrence, and suicidality of depression. An inverse relation was observed between serum MDA values and mean HDL levels in depression. This emphasizes the need for clinical vigilance in employing these biomarkers not merely for assessment but also for HDL as a preventive measure in depression.