Abstract Background So far, studies on possible association of plasma lipid levels and depressive disorder are contradictory. This prospective work aimed at assessing a plasma lipid profile in individuals with major depression and healthy controls. Methods In total, 94 patients with major depression and 152 healthy controls were included in this prospective study. After an overnight fasting state of 12 h they underwent blood drawing for triglyzerides (TG), total cholesterol, low-density lipoprotein (LDL)- and high-density lipoprotein (HDL)-cholesterol measurements. All participants were evaluated in a clinical interview and filled out the self-rating Beck Depression Inventory (BDI-II) scale to identify depressive symptomatology. Results Ninety-four patients with major depression showed significantly higher median (interquartile range) plasma TG levels (108.0 [75.8–154.1] vs. 84.0 [63.0–132.2] mg/dL, P = 0.014) and significantly lower HDL-cholesterol levels (55.0 [46.9–123.0] vs. 61.5 [47.4–72.6] mg/dL, P = 0.049) compared to 152 individuals without depression, respectively. Total and LDL-cholesterol concentrations were observed slightly higher in patients with major depression. Significant positive correlation was found between TG, total cholesterol and LDL-cholesterol concentrations and the BDI-II score (p = 0.027, 0.048 and 0.018), and in tendency negative correlation between HDL-cholesterol levels and the BDI-II score (P = 0.091), respectively. Conclusions Depressive individuals were found with adverse plasma lipid patterns of higher TG and lower HDL-cholesterol levels compared to healthy controls. On this basis, the authors would suggest the implementation of routine lipid measurements in order to stratify these patients by their cardiovascular risk.