Major Depressive Disorder (MDD) is a leading cause of disability worldwide, creating a high medical and socioeconomic burden. There is a growing interest in the biological underpinnings of depression, which are reflected by altered levels of biological markers. Among others, enhanced inflammation has been reported in MDD, as reflected by increased concentrations of inflammatory markers—C-reactive protein, interleukin-6, tumor necrosis factor-α and soluble interleukin-2 receptor. Oxidative and nitrosative stress also plays a role in the pathophysiology of MDD. Notably, increased levels of lipid peroxidation markers are characteristic of MDD. Dysregulation of the stress axis, along with increased cortisol levels, have also been reported in MDD. Alterations in growth factors, with a significant decrease in brain-derived neurotrophic factor and an increase in fibroblast growth factor-2 and insulin-like growth factor-1 concentrations have also been found in MDD. Finally, kynurenine metabolites, increased glutamate and decreased total cholesterol also hold promise as reliable biomarkers for MDD. Research in the field of MDD biomarkers is hindered by insufficient understanding of MDD etiopathogenesis, substantial heterogeneity of the disorder, common co-morbidities and low specificity of biomarkers. The construction of biomarker panels and their evaluation with use of new technologies may have the potential to overcome the above mentioned obstacles.