Major depressive disorder (MDD) is a highly prevalent and devastating psychiatric illness with strong individual and societal burdens. However, biomarkers to improve the limited preventive and therapeutic approaches are scarce. Multilevel evidence suggests that the pathophysiological involvement of sphingolipids particularly increases the levels of ceramides and the ceramide hydrolyzing enzyme, acid sphingomyelinase. The activity of secretory acid sphingomyelinase (S-ASM) and routine blood parameters were determined in the serum of patients with current (unmedicated n = 63, medicated n = 66) and remitted (n = 39) MDD and healthy subjects (n = 61). Depression severity and anxiety and their 3-weeks prospective course of treatment were assessed by psychometric inventories. S-ASM activity was not different between the four groups, did not decrease during treatment, and was not lower in individuals taking medication that functionally inhibited ASM. However, S-ASM correlated positively with depression severity only in remitted patients. High enzyme activity at inclusion predicted milder clinician-evaluated and self-rated depression severity (HAM-D, MADRS, BDI-II) and state anxiety at follow-up, and was related to stronger improvement in these scores in medicated patients. S-ASM was strongly and contrariwise associated with serum lipids in unmedicated and medicated females. These findings contribute to a better understanding of the pathomechanisms underlying depression and the development of clinical strategies and biomarkers.