Whole-body hyperthermia (WBH) shows promise for the treatment of major depressive disorder (MDD). Because MDD is associated with increased inflammation, and anti-inflammatory agents show some promise as antidepressants, the current study sought to identify the acute and longer-term immune effects of WBH in participants with MDD and to explore whether these effects associate with the procedure’s antidepressant properties. Thirty participants who met DSM-IV-TR criteria for MDD were randomized to receive a single session of WBH (n = 16) or sham treatment (n = 14). Hamilton Depression Rating Scale (HDRS) scores were assessed at baseline and 1, 2, 4, and 6 weeks post-treatment (WBH vs. sham), and plasma cytokine concentrations were assessed at baseline, immediately post-treatment, and 1 and 4 weeks post-treatment. As previously reported, WBH produced a rapid and sustained antidepressant effect. When compared to sham, WBH increased plasma interleukin (IL)-6 immediately post-treatment (time by treatment: χ2(3, N=108) = 47.33, p < 0.001), while having no effect on other cytokines acutely and no impact on IL-6, or any other cytokine, at 1 or 4 weeks post treatment. In the study sample as a whole, increased IL-6 post-treatment was associated with reduced HDRS depression scores over the 6 weeks of follow-up (F(1, 102.3) = 6.74, p = 0.01). These results suggest a hitherto unrecognized relationship between hyperthermia, the immune system, and depression, and may point to WBH as a novel modality for exploring behavioral effects of IL-6 when the cytokine is activated in isolation from the inflammatory mediators with which it frequently travels.