Peripheral blood C-reactive protein (CRP) is a biomarker used clinically to measure systemic inflammation and is reproducibly increased in a subset of patients with major depressive disorder (MDD). Furthermore, increased peripheral blood CRP in MDD has been associated with altered reward circuitry and increased brain glutamate in relation with symptoms of anhedonia. Nevertheless, the relationship between peripheral CRP and other peripheral and central markers of inflammation in depressed patients has not been established. Plasma (n = 89) and CSF (n = 73) was collected from medically stable, currently unmedicated adult outpatients with MDD. Associations among plasma and CSF CRP and plasma and CSF inflammatory cytokines (interleukin [IL]-6, tumor necrosis factor [TNF] and IL-1beta) and their soluble receptors/antagonists were examined. Relationships between plasma and CSF inflammatory markers and depressive symptoms including anhedonia and reduced motivation (RM) were also explored. Plasma CRP was correlated with multiple plasma inflammatory markers (all p < 0.05), and a strong correlation was found between plasma and CSF CRP (r = 0.855, p < 0.001). CSF CRP in turn correlated with CSF cytokine receptors/antagonists (all p < 0.05). Principal component analyses revealed clusters of CSF inflammatory markers that were associated with high plasma CRP (>3 mg/L) and correlated with depressive symptom severity. These findings were driven by CSF TNF, which correlated with RM (r = 0.236, p = 0.045), and CSF IL-6 soluble receptor, which correlated with anhedonia (r = 0.301, p = 0.010) in the sample as a whole and particularly females. CRP appears to be a peripheral biomarker that reflects peripheral and central inflammation and seems well-suited for guiding immunotherapies targeting TNF and IL-6 in patients with MDD.