Background <p>Cognitive impairments constitute a core manifestation of major depressive disorder (MDD), albeit the precise mechanisms governing these impairments remain elusive. Inflammation may contribute to cognitive impairment and clinical symptoms in MDD. We conducted an investigation into the inflammatory markers present in patients with MDD, including white blood cell (WBC) counts, monocytes, lymphocytes, neutrophils, platelets, neutrophil-to-lymphocyte ratio (NLR), platelet-to-lymphocyte ratio (PLR), and monocyte-to-lymphocyte ratio (MLR), and their associations with symptoms and cognitive performance.</p> Methods <p>A cohort comprising 95 patients diagnosed with MDD and 65 healthy controls (HCs) was enrolled. Clinical symptomatology was evaluated utilizing the Hamilton Depression Rating Scale (HAMD) and the Hamilton Anxiety Rating Scale (HAMA). Cognitive performance was evaluated using the THINC-Integrated Tool (THINC-it), whereas inflammatory markers were measured via complete blood count (CBC). Multiple linear regression analyses investigated correlations of CBC indicators with symptoms and cognitive performance.</p> Results <p>Patients with MDD exhibited cognitive impairments and elevated WBC, lymphocyte, monocyte, and MLR levels compared with those of the HCs. WBC and PLR negatively correlated with HAMD and HAMA scores, respectively. MLR was positively correlated with HAMD scores of female patients; it was negatively correlated with cognitive performance. Gender-specific analyses revealed distinct patterns among male and female patients.</p> Conclusion <p>Immune dysregulation in MDD was associated with emotional symptoms and cognitive impairment. Inflammatory markers correlated with attention, executive function and working memory in males, whereas in females, they were linked to subjective cognition, executive function, and composite cognition. Gender differences should be considered in immune-cognitive interactions, which may inform personalized therapeutic interventions.</p>