Background: Inflammatory response plays a pivotal role in the pathophysiology of depression. With this background, we planned this study to see if immune markers, interleukin 6 (IL-6), and erythrocyte sedimentation rate (ESR) are raised in subjects with major depressive disorder (MDD) and compare its level with healthy controls and first-degree relatives of subjects. We also explored if variation in the level of these markers was related to the severity of depression. Methods: This comparative observational study included 120 subjects, who were divided into three groups of 40 individuals each. Group 1 was the MDD group, group 2 was the healthy first-degree relative group, and group 3 was the healthy control group. All the subjects were then made to undergo estimation of IL-6 (pg/mL) and ESR (mm/h) from our hospital biochemistry lab. The patients in group 1 were additionally screened for the severity of depression. Results: The mean IL-6 and ESR measure within the MDD group was 9.20 ± 13.40 (pg/mL) and 5.90 ± 5.35 (mm/h), respectively. We found that the mean and median values of both IL-6 and ESR were highest in the MDD group as compared to other groups, which were statistically significant ( p <0.05). A pairwise comparison found no significant difference in the IL-6 and ESR scores among the healthy controls and healthy first-degree relatives. The mean of IL-6 was highest in individuals with moderate severity of depression, while the mean of ESR was highest in individuals with severe depression. Conclusion: The immune markers, IL-6 and ESR, were significantly raised in the MDD group; however, the levels did not correlate significantly with the differential severity of the depressive disorder as per Hamilton depression rating scale (HAM-D) scores.