Biomarkers are regularly used in medicine to provide objective indicators of normal biological processes, pathogenic processes or pharmacological responses to therapeutic interventions, and have proved invaluable in expanding our understanding and treatment of medical diseases. In the field of psychiatry, assessment and treatment has, however, primarily relied on patient interviews and questionnaires for diagnostic and treatment purposes. Biomarkers in psychiatry present a promising addition to advance the diagnosis, treatment and prevention of psychiatric diseases. This review provides a summary on the potential of peripheral biomarkers in major depression with a specific emphasis on those related to inflammatory/immune and oxidative stress/antioxidant defences. The complexities associated with biomarker assessment are reviewed specifically around their collection, analysis and interpretation. Focus is placed on the potential of peripheral biomarkers to aid diagnosis, predict treatment response, enhance treatment-matching, and prevent the onset or relapse of major depression.