Meta-analyses support the involvement of different pathophysiological mechanisms (inflammation, hypothalamic-pituitary (HPA)-axis, neurotrophic growth and vitamin D) in major depressive disorder (MDD). However, it remains unknown whether dysregulations in these mechanisms are more pronounced when MDD progresses toward multiple episodes and/or chronicity. We hypothesized that four central pathophysiological mechanisms of MDD are not only involved in etiology, but also associated with clinical disease progression. Therefore, we expected to find increasingly more dysregulation across consecutive stages of MDD progression. The sample from the Netherlands Study of Depression and Anxiety (18-65 years) consisted of 230 controls and 2333 participants assigned to a clinical staging model categorizing MDD in eight stages (0, 1A, 1B, 2, 3A, 3B, 3C and 4), from familial risk at MDD (stage 0) to chronic MDD (stage 4). Analyses of covariance examined whether pathophysiological mechanism markers (interleukin (IL)-6, C-reactive protein (CRP), cortisol, brain-derived neurotrophic factor and vitamin D) showed a linear trend across controls, those at risk for MDD (stages 0, 1A and 1B), and those with full-threshold MDD (stages 2, 3A, 3B, 3C and 4). Subsequently, pathophysiological differences across separate stages within those at risk and with full-threshold MDD were examined. A linear increase of inflammatory markers (CRP P=0.026; IL-6 P=0.090), cortisol (P=0.025) and decrease of vitamin D (P<0.001) was found across the entire sample (for example, from controls to those at risk and those with full-threshold MDD). Significant trends of dysregulations across stages were present in analyses focusing on at-risk individuals (IL-6 P=0.050; cortisol P=0.008; vitamin D P<0.001); however, no linear trends were found in dysregulations for any of the mechanisms across more progressive stages of full-threshold MDD. Our results support that the examined pathophysiological mechanisms are involved in MDD's etiology. These same mechanisms, however, are less important in clinical progression from first to later MDD episodes and toward chronicity.