Background: Accumulations of stressful life events result in the onset of major depressive disorder (MDD). Comprehensive genomic analysis is required to elucidate pathophysiological changes and identify applicable biomarkers. Methods: Transcriptomic analysis was performed on different brain parts of a chronic mild stress (CMS)-induced MDD mouse model followed by systemic analysis. QPCR and ELISA were utilized for validation in mice and patients. Results: The highest numbers of genes with significant changes induced by CMS were 505 in the amygdala followed by 272 in the hippocampus (twofold changes; FDR, p < 0.05). Enrichment analysis indicated that the core-enriched genes in CMS-treated mice were positively enriched for IFN-γ response genes in the amygdala, and hedgehog signaling in the hippocampus. Transthyretin (TTR) was severely reduced in CMS-treated mice. In patients with diagnosed MDD, serum concentrations of TTR were reduced by 48.7% compared to controls (p = 0.0102). Paired samples from patients with MDD demonstrated a further 66.3% increase in TTR at remission compared to the acute phase (p = 0.0339). Conclusions: This study provides comprehensive information on molecular networks related to MDD as a basis for further investigation and identifies TTR for MDD monitoring and management. A clinical trial with bigger patient cohort should be conducted to validate this translational study.