Major depressive disorder (MDD) can present a variety of clinical presentations and has high inter-individual heterogeneity. Multiple studies have suggested various subtype models related to symptoms, etiology, sex, and treatment response. Employing different regimens is common when treating MDD, and identifying effective therapeutics requires time. Frequent treatment attempts and failures can lead to a diagnosis of treatment resistance, and the heterogeneity of treatment responses among individuals makes it difficult to understand and interpret the biological mechanisms underlying MDD. This study explored the differentially expressed proteins and commonly altered protein networks across drug treatments by comparing the serum proteomes of patients with MDD treated with drug regimens (T-MDD, n = 20) and untreated patients (NT-MDD, n = 20). Differentially expressed proteins were profiled in non-drug-treated and drug-treated patients with depression using liquid chromatography-mass spectrometry. The common protein networks affected by different medications were studied. Of the proteins profiled, 12 were significantly differentially expressed between the T-MDD and NT-MDD groups. Commonly altered proteins and networks of various drug treatments for depression were related to the complement system and immunity. Our results provide information on common biological changes across different pharmacological treatments employed for depression and provide an alternative perspective for improving our understanding of the biological mechanisms of drug response in MDD with great heterogeneity in the background of the disease.