Although the relationship between positive and negative symptoms of psychosis and dyslipidemia has been thoroughly investigated in recent studies, the potential link between depression and lipid status is still under-investigated. We here examined the association between lipid levels and depressive symptomatology in patients with psychotic disorders, in addition to their possible inflammatory associations. Participants (n = 652) with the following distribution: schizophrenia, schizophreniform and schizoaffective disorder (schizophrenia group, n = 344); bipolar I, II, NOS, and psychosis NOS (non-schizophrenia group, n = 308) were recruited consecutively from the Norwegian Thematically Organized Psychosis (TOP) Study. Clinical data were obtained by Positive and Negative Syndrome Scale (PANSS), and Calgary Depression Scale for Schizophrenia (CDSS). Blood samples were analyzed for total cholesterol (TC), low-density lipoprotein (LDL), triglyceride (TG), C-reactive protein (CRP), soluble tumor necrosis factor receptor 1(sTNF-R1), osteoprotegerin (OPG), and interleukin 1 receptor antagonist (IL-1Ra). After adjusting for age, gender, BMI, smoking, and dyslipidemia-inducing antipsychotics, TC and LDL scores showed significant associations with depression [β = 0.13, p = 0.007; β = 0.14, p = 0.007], and with two inflammatory markers: CRP [β = 0.14, p = 0.007; β = 0.16, p = 0.007] and OPG [β = 0.14, p = 0.007; β = 0.11, p = 0.007]. Total model variance was 17% for both analyses [F(12, 433) = 8.42, p < 0.001; F(12, 433) = 8.64, p < 0.001]. Current findings highlight a potential independent role of depression and inflammatory markers, CRP and OPG in specific, in the pathophysiology of dyslipidemia in psychotic disorders.