Recently, scientists have focused on pro-inflammatory cytokines and immunological dysregulation in major depressive disorder (MDD). Some research suggests pro-inflammatory cytokines' role in MDD development, whereas anti-inflammatory studies are sparse. There is no systematic investigation of Bangladeshi MDD patients' pro- and anti-inflammatory cytokines. This study examines the blood levels of IL-12 and IL-4 in Bangladeshi patients and healthy controls (HCs) to determine the diagnostic accuracy of these cytokines to identify MDD patients from those without MDD. A total of 110 people with MDD from the department of psychiatry of a teaching hospital in Dhaka and 107 HCs from Dhaka participated in this case–control study. Depression and illness severity were gauged using DSM-5 criteria and Ham-D scores. Commercially marketed ELISA kits were used in accordance with manufacturer guidelines to measure the levels of IL-12 and IL-4 in peripheral blood, allowing a comparison of the patient and control groups. In comparison to HCs, MDD patients (5333.00 ± 307.40 pg/ml) showed noticeably higher levels of IL-12 than in HCs (2331.00 ± 207.40 pg/ml). The increased levels were positively correlated with Ham-D scores (male: r = 0.351, p < 0.050; female: r = 0.389, p < 0.050), suggesting a possible relationship to disease progression. Additionally, compared to HCs (272.81 ± 23.94 pg/ml), MDD patients had significantly higher peripheral blood levels of IL-4 (876.35 ± 66.73 pg/ml) (p < 0.001). Also, there was a positive correlation between IL-4 serum levels and Ham-D scores (male: r = 0.361, p < 0.050; female: r = 0.398, p < 0.050). Therefore, we observed increased levels of these serum cytokines and their association with the severity of depression. The results of this study demonstrate the possibility of IL-12 and IL-4 blood levels as distinct markers capable of differentiating between MDD patients and HCs, possibly acting as markers of MDD susceptibility. To ascertain the diagnostic effectiveness of these two cytokines, more research is necessary.