In major depressive disorder, changes in cytokine levels have been reported to play a role in pathogenesis. Therefore, we sought to investigate a broad range of cytokines in depression. We compared serum levels of interleukin (IL)-2, IL-4, IL-5, IL-10, IL-12, IL-13, granulocyte macrophage colony-stimulating factor (GM-CSF), interferon (INF-γ) and tumor necrosis factor (TNF)-α in 64 subjects with current depression and 206 non-depressed subjects. Depressed patients had higher levels of IL-2, IL-5, IL-12, IL-13, GM-CSF, INF-γ and TNF-α, compared to non-depressed subjects. Splitting groups into non-obese (BMI < 30) and obese (BMI ≥ 30), the non-obese depressed patients (n = 40) showed elevated IL-5, IL-12, IL-13, GM-CSF, INF-γ and TNF-α levels compared to non-obese and non-depressed subjects (n = 85). The obese and depressed patients (n = 24) showed elevated levels of IL-5, IL-12 and INF-γ compared to obese but not depressed subjects (n = 121). Levels of several cytokines were found to be associated with physical activity, employment status and presence of daily naps. The results support over-expression of pro-inflammatory cytokines in depression and extend the range of cytokines potentially associated with depression to include GM-CSF, IL-5 and IL-13. Changes in these cytokines may contribute to co-morbidity between depression and allergic and asthmatic diseases. The results also suggest inflammatory processes associated with obesity, and support an interaction between cytokine serum concentrations and behavioral aspects of both obesity and depression.