Introduction: Major depression (MD) is more common amongst women than men, and MD episodes have been associated with fluctuations in reproductive hormones amongst women. To investigate biological underpinnings of heterogeneity in MD, the associations between depression, stratified by sex and including perinatal depression (PND), and blood biomarkers, using UK Biobank (UKB) data, were evaluated, and extended to include the association of depression with biomarker polygenic scores (PGS), generated as proxy for each biomarker. Method: Using female (N = 39,761) and male (N = 38,821) UKB participants, lifetime MD and PND were tested for association with 28 blood biomarkers. A GWAS was conducted for each biomarker and genetic correlations with depression subgroups were estimated. Using independent data from the Australian Genetics of Depression Study, PGS were constructed for each biomarker, and tested for association with depression status (n [female cases/controls] = 9,006/6,442; n [male cases/controls] = 3,106/6,222). Regions of significant local genetic correlation between depression subgroups and biomarkers highlighted by the PGS analysis were identified. Results: Depression in females was significantly associated with levels of twelve biomarkers, including total protein (OR = 0.90, CI = [0.86, 0.94], p = 3.9 × 10−6) and vitamin D (OR = 0.94, CI = [0.90, 0.97], p = 2.6 × 10−4), and PND with five biomarker levels, also including total protein (OR = 0.88, CI = [0.81, 0.96], p = 4.7 × 10−3). Depression in males was significantly associated with levels of eleven biomarkers. In the independent Australian Genetics of Depression Study, PGS analysis found significant associations for female depression and PND with total protein (female depression: OR = 0.93, CI = [0.88, 0.98], p = 3.6 × 10−3; PND: OR = 0.91, CI = [0.86, 0.96], p = 1.1 × 10−3), as well as with vitamin D (female depression: OR = 0.93, CI = [0.89, 0.97], p = 2.0 × 10−3; PND: OR = 0.92, CI = [0.87, 0.97], p = 1.4 × 10−3). The male depression sample did not report any significant results, and the point estimate of total protein (OR = 0.98, CI = [0.92–1.04], p = 4.7 × 10−1) did not indicate any association. Local genetic correlation analysis highlighted significant genetic correlation between PND and total protein, located in 5q13.3 (rG = 0.68, CI = [0.33, 1.0], p = 3.6 × 10−4). Discussion and Conclusion: Multiple lines of evidence from genetic analysis highlight an association between total serum protein levels and depression in females. Further research involving prospective measurement of total protein and depressive symptoms is warranted.