Major depressive disorder (MDD) involves changes in lipid metabolism, but previous findings are contradictory. Mesencephalic astrocyte-derived neurotrophic factor (MANF) is considered to be a regulator of lipid metabolism. To date, the function of MANF has been studied in many brain disorders, but not in MDD. Therefore, to better understand the role of lipids in MDD, this study was conducted to examine lipid levels in the serum of MDD patients and to investigate the potential function of MANF in MDD. First, the data on total cholesterol (TC), low-density lipoprotein cholesterol (LDL-C), high-density lipoprotein cholesterol (HDL-C), and triglyceride (TG) in serum from 354 MDD patients and 360 healthy controls (HCs) were collected and analyzed. The results showed that there were significantly lower concentrations of TC and LDL-C in MDD patients compared with HCs, and TC levels were positively correlated with LDL-C levels. Bioinformatics analysis indicated that MANF/EWSR1/ANXA6 pathway might serve as the connecting bridge through which hypolipidemia played a functional role in MDD. Second, to verify this hypothesis, serum samples were collected from 143 MDD patients, and 67 HCs to measure the levels of MANF, EWSR1, and ANXA6 using ELISA kits. The results showed that compared to HCs, MDD patients had a significantly lower level of MANF and higher levels of ANXA6 and EWSR1, and these molecules were significantly correlated with both TC level and Hamilton Depression Rating Scales (HDRS) score. In addition, a discriminative model consisting of MANF, EWSR1, and ANXA6 was identified. This model was capable of distinguishing MDD subjects from HCs, yielded an area under curve of 0.9994 in the training set and 0.9569 in the testing set. Taken together, our results suggested that MANF/EWSR1/ANXA6 pathway might act as the bridge between hypolipidemia and MDD, and these molecules held promise as potential biomarkers for MDD.