Kynurenine pathway (KP) metabolites are believed to be a link between inflammation and depression through effects on brain glutamate receptors. However, neither the relationship between plasma and cerebrospinal fluid (CSF) KP metabolites nor their association with inflammatory mediators is well-established in depression. Moreover, the clinical profile associated with combined activation of plasma inflammatory and kynurenine pathways is unknown. Accordingly, plasma and CSF-KP metabolites and inflammatory markers along with depressive symptoms and antidepressant treatment response were measured in 72 unmedicated depressed patients. Following bivariate analyses, component factors representing immune and kynurenine variables in the plasma and CSF were extracted and were used to examine directionality of associations in a path model. In addition, patients were clustered using individual markers that most accounted for the association between plasma immune and KP systems. Path analysis revealed a directional association extending from plasma inflammatory markers to plasma kynurenines, to CSF kynurenines. Among immune markers, plasma tumor necrosis factor (TNF) was robustly associated with plasma kynurenine (KYN) and KYN/tryptophan (TRP), which was in turn significantly associated with CSF KYN, kynurenic acid, and quinolinic acid. Clustering of patients based on plasma TNF and KYN/TRP yielded subgroups of high (N = 17) and low (N = 55) TNF-KYN/TRP groups. High TNF-KYN/TRP subjects exhibited greater depression severity, anhedonia, and treatment nonresponse. In conclusion, plasma-KP metabolites may mediate an inflammation-associated depressive symptom profile via CNS KP metabolites that can serve as a target for intervention at the level of inflammation, peripheral KYN metabolism, KYN transport to the brain, or effects of KP metabolites on glutamate receptors.