Studies attempting to clarify the relationship between major depressive disorder (MDD) and the immune system have been increasing in recent years. It was reported that increased production of the main proinflammatory cytokines, such as interleukin-1, interleukin-6, and tumor necrosis factor-alpha, and that of acute phase reactants may play a role in the etiopathogenesis of depression. Stress and depression were reported to increase leukocyte and neutrophil counts and to decrease lymphocyte count. Biological determinants affecting the diagnosis, therapy, and prognosis of depression are quite limited. Therefore, new etiological models are needed to explain the pathophysiology of depression. In recent years, neutrophil-lymphocyte ratio (NLR) was determined to be a good indicator of inflammatory status. There is no study in the literature investigating NLR in MDD. This study aims to examine the role of inflammation in the etiology of depression based on the NLR in MDD patients who are undergoing no pharmacological therapy. A total of 41 patients diagnosed with MDD, who received no antidepressant therapy within the past 1 month, were included in the study, which took place between January and March 2015. The control group consisted of 47 healthy subjects with no psychiatric disorders. A sociodemographic information form and a Beck Depression Scale were administered, and the blood was taken for biochemical analysis. Significant differences were identified in the NLR, neutrophil count, lymphocyte percentage, and leukocyte values of the patient group when compared with the control group (P < 0.05). Our study is the first in which NLR was investigated in MDD. The findings of the study reveal that NLR tends to be higher in patients with MDD, and a high NLR value supports the view that inflammation is a critical factor in the etiology of MDD.