Objectives: The aim of this study was to investigate whether serum TNF-α and IL-1β levels are independent risk factors for depression in axSpA patients. Methods: All axSpA patients with BASDAI ≥ 4 were invited consecutively between March 2021 and August 2021 to participate. Depression was evaluated with the WHO-5 Well-Being scale. Disease activity was assessed using BASDAI (0–10), ASDAS-CRP (0.61–7.22), ASDAS-ESR (0.29–7.61), and health status by ASAS-HI (0–17). Serum TNF-α and IL-1β levels were measured by ELISA. An association between depression and cytokine levels was investigated with Spearman`s rank correlation coefficient test. Results: A total of 252 axSpA patients (155 men) could be included; of these, 123 (48.81%) were depressed, and of these, 75 were male. Serum TNF-α and IL-1β were not significantly associated with depression (r −0.041 and 0.110, respectively). Serum TNF-α levels were higher in depressed female axSpA patients (20.05 vs. 17.87; p = 0.03). Differences between depressed and non-depressed patients were respectively: TNF-α (19.7 vs.18.0; p= 0.84), IL-1β (32.3 vs. 21.2; p= 0.04), BASDAI (5.47 vs. 4.77; p = 0.000), ASDAS-CRP (4.17 vs. 3.78; p = 0.000), ASDAS-ESR (3.86 vs. 3.39; p = 0.000), CRP (48.43 vs. 37.93 mg/L; p = 0.000), and ASAS-HI (13.37 vs. 10.24; p = 0.000). Factors associated with depression were: peripheral joint involvement (OR = 1.073, 95% CI 1.012–1.138), BASDAI (OR = 1.534, 95% CI 1.011–2.335), and ASAS-HI (OR = 1.39, 95% CI 1.239–1.557). Only in depressed patients with peripheral SPA were higher IL-1β levels found, though the differences were probably not clinically relevant. Conclusions: Serum TNF-α and IL-1β were not independently related to depression in axSpA patients. Disease activity, peripheral joint involvement, and reduced health status showed the highest association with depression.