Major depressive disorder is a common neuropsychiatric disorder contributing to several socio-economic burdens including disability and suicide. As the underlying pathophysiology of major depressive disorder remains unclear, no objective test is yet available for aiding diagnosis or monitoring disease progression. To contribute to a better understanding of its pathogenesis, a comparative proteomic study was performed to identify proteins differentially expressed in plasma samples obtained from first-onset, treatment-naive depressed patients as compared to healthy controls. Samples from the two groups were immunodepleted of seven high-abundance proteins, labelled with isobaric tags for relative and absolute quantitation and then analysed by multi-dimensional liquid chromatography-tandem mass spectrometry. The proteomic results were further validated by immunoblotting or enzyme-linked immunoadsorbent assays and analysed with the MetaCore database. The results demonstrate that the functions of the altered proteins are primarily involved in lipid metabolism and immunoregulation. These findings suggest that early perturbation of lipid metabolism and immunoregulation may be involved in the pathophysiology of major depressive disorder.