C-reactive protein (CRP), an inflammatory marker of cardiovascular risk, is often elevated in major depressive disorder (MDD). The magnitude and consistency of this elevation have not been previously characterized in premenopausal women with MDD. The aim of the study was to prospectively assess plasma CRP levels, body composition, endocrine and metabolic parameters, and depressive status in premenopausal women with MDD (n = 77) and controls (n = 41), aged 21 to 45. Women were enrolled in a 12-month, controlled study of bone turnover, the P.O.W.E.R. (Premenopausal, Osteoporosis, Women, Alendronate, Depression) Study. Blood samples were taken at Baseline, Month 6, and Month 12. Most subjects with MDD were in clinical remission. These women tended to have consistently higher CRP levels than controls over 12 months (p = 0.077). BMI was positively related to log[CRP] in women with MDD only. Nine women with MDD had CRP levels greater than 10 mg/l, a value associated with a very high cardiovascular risk. This subset was obese and had significantly higher triglycerides, total cholesterol, LDL-cholesterol, fasting insulin, and HOMA-IR than the rest of women with MDD. The variations in CRP levels over time were high (intra- and inter-individual coefficients of variations of ∼30–50% and ∼70–140%, respectively). No control had CRP levels greater than 10 mg/l. Depression was associated with increased plasma CRP in women with MDD. The clinical significance of abnormal plasma CRP for cardiovascular risk needs to be assessed in large prospective studies of women with depression.