Objective: This study used machine learning techniques combined with peripheral biomarker measurements to build signatures to help differentiating (1) patients with bipolar depression from patients with unipolar depression, and (2) patients with bipolar depression or unipolar depression from healthy controls. Methods: We assessed serum levels of interleukin-2, interleukin-4, interleukin-6, interleukin-10, tumor necrosis factor-α, interferon-γ, interleukin-17A, brain-derived neurotrophic factor, lipid peroxidation and oxidative protein damage in 54 outpatients with bipolar depression, 54 outpatients with unipolar depression and 54 healthy controls, matched by sex and age. Depressive symptoms were assessed using the Hamilton Depression Rating Scale. Variable selection was performed with recursive feature elimination with a linear support vector machine kernel, and the leave-one-out cross-validation method was used to test and validate our model. Results: Bipolar vs unipolar depression classification achieved an area under the receiver operating characteristics (ROC) curve (AUC) of 0.69, with 0.62 sensitivity and 0.66 specificity using three selected biomarkers (interleukin-4, thiobarbituric acid reactive substances and interleukin-10). For the comparison of bipolar depression vs healthy controls, the model retained five variables (interleukin-6, interleukin-4, thiobarbituric acid reactive substances, carbonyl and interleukin-17A), with an AUC of 0.70, 0.62 sensitivity and 0.7 specificity. Finally, unipolar depression vs healthy controls comparison retained seven variables (interleukin-6, Carbonyl, brain-derived neurotrophic factor, interleukin-10, interleukin-17A, interleukin-4 and tumor necrosis factor-α), with an AUC of 0.74, a sensitivity of 0.68 and 0.70 specificity. Conclusion: Our findings show the potential of machine learning models to aid in clinical practice, leading to more objective assessment. Future studies will examine the possibility of combining peripheral blood biomarker data with other biological data to develop more accurate signatures.