Objective: Regarding the neuroinflammatory theory of major depressive disorder (MDD), little is known about the effect of pro-inflammatory cytokines on white matter (WM) changes in MDD. We aimed to investigate the relationship between pro-inflammatory cytokines and WM alterations in patients with MDD. Methods: Twenty-two patients with MDD and 22 healthy controls (HC) were evaluated for brain imaging and pro-inflammatory cytokines including interleukin (IL)-1, IL-6, IL-8, interferon- and tumor necrosis factor (TNF)-. Tract-based spatial statistics and FreeSurfer were used for brain image analysis. Results: The levels of TNF- and IL-8 were significantly higher in the MDD group than in HC. Compared to HC, lower fractional anisotropy (FA), and higher median diffusivity (MD) and radial diffusivity (RD) values were found in the MDD group for several WM regions. Voxel-wise correlation analysis showed that the level of TNF- was negatively correlated with FA, and positively correlated with MD and RD in the left body and genu of the corpus callosum, left anterior corona radiata, and left superior corona radiata. Conclusion: Our findings suggest that TNF- may play an important role in the WM alterations in depression, possibly through demyelination.