Several studies have demonstrated that allelic variants related to inflammation and the immune system may increase the risk for major depressive disorder (MDD) and reduce patient responsiveness to antidepressant treatment. Proteasomes are fundamental complexes that contribute to the regulation of T-cell function. Only one study has shown a putative role of proteasomal PSMA7, PSMD9 and PSMD13 genes in the susceptibility to an antidepressant response, and sparse data are available regarding the potential alterations in proteasome expression in psychiatric disorders such as MDD. The aim of this study was to clarify the role of these genes in the mechanisms underlying the response/resistance to MDD treatment. We performed a case-control association study on 621 MDD patients, of whom 390 were classified as treatment-resistant depression (TRD), and we collected peripheral blood cells and fibroblasts for mRNA expression analyses. The analyses showed that subjects carrying the homozygous GG genotype of PSMD13 rs3817629 had a twofold greater risk of developing TRD and exhibited a lower PSMD13 mRNA level in fibroblasts than subjects carrying the A allele. In addition, we found a positive association between PSMD9 rs1043307 and the presence of anxiety disorders in comorbidity with MDD, although this result was not significant following correction for multiple comparisons. In conclusion, by confirming the involvement of PSMD13 in the MDD treatment response, our data corroborate the hypothesis that the dysregulation of the complex responsible for the degradation of intracellular proteins and potentially controlling autoimmunity- and immune tolerance–related processes may be involved in several phenotypes, including the TRD.