The mRNA expression signatures associated with the ‘pro-inflammatory’ phenotype of depression, and the differential signatures associated with depression subtypes and the effects of antidepressants, are still unknown. We examined 130 depressed patients (58 treatment-resistant, 36 antidepressant-responsive and 36 currently untreated) and 40 healthy controls from the BIODEP study, and used whole-blood mRNA qPCR to measure the expression of 16 candidate mRNAs, some never measured before: interleukin (IL)-1-beta, IL-6, TNF-alpha, macrophage inhibiting factor (MIF), glucocorticoid receptor (GR), SGK1, FKBP5, the purinergic receptor P2RX7, CCL2, CXCL12, c-reactive protein (CRP), alpha-2-macroglobulin (A2M), acquaporin-4 (AQP4), ISG15, STAT1 and USP-18. All genes but AQP4, ISG15 and USP-18 were differentially regulated. Treatment-resistant and drug-free depressed patients had both increased inflammasome activation (higher P2RX7 and proinflammatory cytokines/chemokines mRNAs expression) and glucocorticoid resistance (lower GR and higher FKBP5 mRNAs expression), while responsive patients had an intermediate phenotype with, additionally, lower CXCL12. Most interestingly, using binomial logistics models we found that a signature of six mRNAs (P2RX7, IL-1-beta, IL-6, TNF-alpha, CXCL12 and GR) distinguished treatment-resistant from responsive patients, even after adjusting for other variables that were different between groups, such as a trait- and state-anxiety, history of childhood maltreatment and serum CRP. Future studies should replicate these findings in larger, longitudinal cohorts, and test whether this mRNA signature can identify patients that are more likely to respond to adjuvant strategies for treatment-resistant depression, including combinations with anti-inflammatory medications.