Background Major Depressive Disorder (MDD) is a debilitating mental health condition with complex etiology, and recent research has focused on pro-inflammatory cytokines and chemokines as potential contributors to its pathogenesis. However, studies investigating the roles of TNF-α and MCP-4 in MDD within the Bangladeshi population are scarce. This study aimed to assess the association between serum TNF-α and MCP-4 levels and the severity of MDD, exploring their potential as risk indicators for MDD development. Methods This case-control study enrolled 58 MDD patients from Bangabandhu Sheikh Mujib Medical University (BSMMU) Hospital, Dhaka, Bangladesh, alongside 30 age, sex, and BMI-matched healthy controls. MDD diagnosis followed DSM-5 criteria and disease severity using the 17-item Hamilton Depression Rating Scale (Ham-D). We measured serum TNF-α and MCP-4 levels using ELISA assays according to the supplied protocols. Results The study revealed significantly elevated serum TNF-α levels in MDD patients (47±6.6 pg/ml, mean±SEM) compared to controls (28.06±1.07 pg/ml). These increased TNF-α levels positively correlated with Ham-D scores (Pearson’s r = 0.300, p = 0.038), suggesting a potential association between peripheral TNF-α levels and MDD pathology. Additionally, MDD patients exhibited significantly higher serum MCP-4 levels (70.49±6.45 pg/ml) than controls (40.21±4.08 pg/ml). However, serum MCP-4 levels showed a significant negative correlation (r = -0.270, P = 0.048) with Ham-D scores in MDD patients, indicating a more complex role for MCP-4 in MDD pathogenesis. Conclusion This study highlights that Bangladeshi MDD patients exhibit heightened inflammatory and immune responses compared to controls, supporting the cytokine hypothesis in MDD pathogenesis. Serum TNF-α, but not MCP-4, shows promise as a potential biomarker for assessing the risk of MDD development, which could aid in early detection. Future investigations involving larger populations and longitudinal studies are essential to confirm the utility of these cytokines as biomarkers for MDD.