Fibroblast growth factor 21 (FGF21) is a key regulator of metabolic function and nutrient preference. It also affects biological pathways associated with major depressive disorder (MDD), including corticotrophin-releasing hormone (CRH), leptin, and sympathetic activity. Lower levels of cerebrospinal fluid FGF21 have been associated with higher Beck Depression Inventory scores. FGF21 was examined as a metabolic marker that could be associated with MDD and evaluated as a biomarker of antidepressant treatment response in a large, randomized placebo-controlled trial in chronic, early-onset MDD participants. FGF21 levels at baseline and during treatment were determined for participants in the Establishing Moderators and Biosignatures of Antidepressant Response for Clinical Care (EMBARC) study. FGF21 was analyzed by ELISA in individuals with chronic, early-onset MDD (first major depressive episode before 30 years) compared to healthy control participants. Participants with MDD had higher levels of FGF21 compared to healthy controls (HCs), even after controlling for baseline age, sex, race, Hispanic ethnicity, BMI, and site (β-coefficient = 1.20, p < 0.0001, Cohen’s d = 0.60). FGF21 did not change over time nor differ between treatment groups. Interestingly though, those with normal BMI and lower FGF21 levels showed a reduction in depression severity over time compared to all other groups. In conclusion, depression is associated with higher levels of FGF21 compared to healthy controls and those with lower levels of FGF21 (25th percentile of the sample) in the context of normal-weight BMI seem to have improved depression severity over time.