Preliminary research suggests that major depressive disorder (MDD) is associated with structural alterations in the brain; as well as with low-grade peripheral inflammation. However, even though a link between inflammatory processes and altered brain structural integrity has been purported by experimental research, well-powered studies to confirm this hypothesis in patients with MDD have been lacking. We aimed to investigate the potential association between structural brain alterations and low-grade inflammation as interrelated biological correlates of MDD. In this cross-sectional study, 514 patients with MDD and 359 healthy controls underwent structural MRI. We used voxel-based morphometry to study local differences in grey matter volume. We also assessed serum levels of high-sensitivity C-reactive protein (hsCRP) in each participant. Compared with healthy controls (age [mean ± standard deviation] 52.57 ± 7.94 yr; 50% male), patients with MDD (49.14 ± 7.28 yr, 39% male) exhibited significantly increased hsCRP levels (Z = −5.562, p < 0.001) and significantly decreased grey matter volume in the prefrontal cortex and the insula. Prefrontal grey matter volume reductions were significantly associated with higher hsCRP levels in patients with MDD (x = 50, y = 50, z = 8; t1,501 = 5.15; k = 92; pFWE < 0.001). In the MDD sample, the significant negative association between hsCRP and grey matter appeared independent of age, sex, body mass index, current smoking status, antidepressant load, hospitalization and medical comorbidities. This study had a cross-sectional design. The present study highlights the role of reduced grey matter volume and low-grade peripheral inflammation as interrelated biological correlates of MDD. The reported inverse association between peripheral low-grade inflammation and brain structural integrity in patients with MDD translates current knowledge from experimental studies to the bedside.