Background and Objectives: Calprotectin is a marker for intestinal inflammation. Recent research suggests a link between inflammation and depression. This study assessed the association between the levels of calprotectin in patients from South-Eastern Europe and the severity of depression, anxiety, and quality of life. Materials and Methods: This cross-sectional study included 30 confirmed patients with Crohn’s disease (CD) and ulcerative colitis (UC) who were assessed using clinical interviews for determining the severities of mental disorders (i.e., depression severity—PHQ-9, anxiety—GAD-7) and the quality of life (EQ-5D). Stool samples were collected from all participants for measuring their levels of calprotectin. Results: The level of calprotectin is correlated with PHQ-9 (ρ = 0.416, p = 0.022) and EQ-5D (ρ = −0.304, p = 0.033) but not with GAD 7 (ρ = 0.059, p = 0.379). Calprotectin levels in patients with mild, moderate, and moderately severe depression were significantly higher than in patients with minimal depression (198 µg/g vs. 66,9 µg/g, p = 0.04). Calprotectin level was corelated with the following depressive symptoms: autolytic ideation (ρ = 0.557, p = 0.001), fatigue (ρ = 0.514, p = 0.002), slow movement (ρ = 0.490, p = 0.003), and sleep disorders (ρ = 0.403, p = 0.014). Calprotectin was an independent predictor of depression with an odds ratio of 1.01 (95%: 1.002–1.03, p < 0.01). An ROC analysis showed that a level of calprotectin of 131 µg/g or higher has a sensitivity of 82%, a specificity of 61%, and an accuracy of 70% for predicting depression. In this study, no significant correlations were found between calprotectin level and anxiety. Conclusions: Calprotectin levels are associated with the severity of depression, and checking for a calprotectin level of 131 µg/g or higher may be a potential accessible screening test for depression in patients with inflammatory bowel disease.