Background: There are studies that have investigated the association of pro-inflammatory cytokines with depressive disorders, but they often present certain limitations. In this study, two substantial groups of patients were analyzed: 92 patients with major depressive disorder and 76 without depressive disorders. The strict inclusion and exclusion criteria for the analyzed groups significantly increased the value of the obtained results. The research question of this study was whether levels of inflammation, measured by the inflammatory markers IL-6, IL-1α, and TNF-α, could predict the severity of depressive symptoms. This could provide additional evidence supporting the hypothesis that inflammation plays a notable role in the pathogenesis of depression. The data analysis supports the hypothesis that the biological mechanisms of inflammation contribute to the clinical manifestations of depression. Elevated levels of inflammatory markers, especially interleukins (IL-6, IL-1α) and tumor necrosis factor-alpha (TNF α), have been identified in patients with major depressive disorder compared to the findings in healthy controls. Materials and Methods: Inflammatory markers (IL-6, IL-1α, and TNF-α) were measured in a sample of 92 patients hospitalized at the Socola Institute of Psychiatry in Iasi, Romania, and compared to a control group with no depression or inflammatory conditions (n = 76). Severity of depressive symptoms was assessed using HAM-D scores. Results: The study results indicated that values of plasma inflammatory markers were significantly higher in patients with major depressive disorder (MDD) compared to the control group (IL-1α: 1.16 ± 0.44 pg/mL vs. 0.89 ± 0.25 pg/mL, p = 0.0004; IL-6: 9.21 ± 4.82 pg/mL vs. 7.16 ± 4.32 pg/mL, p = 0.0149; and TNF-α: 2.02 ± 0.96 pg/mL vs. 1.67 ± 0.8 pg/mL, p = 0.0286). The differences remained significant after applying logarithmic transformation, which was necessary to adjust for outlier values. An analysis of demographic characteristics showed that the frequency of women (67.4% vs. 36.84%, p < 0.001), cohabiting individuals (28.26% vs. 10.53%, p = 0.0001), and alcohol consumers (67.39% vs. 47.37%, p = 0.0087) was significantly higher in patients with MDD. The level of education was significantly lower in patients with MDD (median (IQR): 12 (2.5) years vs. 14 (8) years, p = 0.0016). The evaluation of confounding variables, including patients’ gender, marital status, education level, and alcohol consumption, was performed using multiple linear regression models. The results indicated that these demographic variables did not significantly influence the correlation between the HAM-D score and the values of IL-6, IL-1α, and TNF-α. A significant correlation between the HAM-D score and the logarithmic values of inflammatory markers was observed for log IL-1α in men (r = 0.355, p = 0.0014), log IL-6 in women (r = 0.0313, p = 0.0027), and log TNF-α in women (r = 0.3922, p = 0.0001). The results of the multiple linear regression and predictive analysis indicated that IL-1α (AUC = 0.677, p = 0.0004), IL-6 (AUC = 0.724, p < 0.001), and TNF-α (AUC = 0.861, p < 0.001) demonstrate high accuracy in discriminating patients with MDD. Conclusions: The results highlighted that IL-6 (AUC = 0.724; 95% CI: 0.648–0.801) and TNF-α (AUC = 0.861; 95% CI: 0.797–0.925) are significant predictors for major depressive disorder. The study highlights the potential of cytokines (IL-1α, IL-6 and TNF-α) as diagnostic markers. These findings support the hypothesis that inflammation may play an important role in the development or exacerbation of depressive symptoms.