Accumulating evidence indicates that inflammation and neurovascular unit (NVU) dysfunction contribute to depression via disrupted blood-brain barrier (BBB) integrity. Claudin-5, an endothelial tight-junction protein expressed in the NVU and contributing to BBB integrity, has been implicated in psychiatric disorders, including major depressive disorder (MDD) and schizophrenia. In an animal model of depressive-like behavior, the pro-inflammatory cytokine tumor necrosis factor-alpha (TNF-α) was found to affect BBB permeability and claudin-5 expression of NVU endothelial cells. To the best of the authors' knowledge, this study is the first to assess the relationship between serum claudin-5 and TNF-α levels, during major depressive episodes (MDEs). Serum levels of claudin-5 and TNF-α of 40 patients diagnosed with current MDE [19 with MDD and 21 with bipolar disorder (BD)] and 28 matched healthy controls (HCs) were analyzed. Claudin-5 and TNF-α serum levels in the MDE group were significantly higher than in the HC one. Discrete analysis according to MDE type indicated significantly increased claudin-5 serum levels in BD but not in MDD patients, compared to HCs, even after controlling for confounders. In the MDE group, a significant positive correlation was found between claudin-5 and TNF-α serum levels. In complementary analysis, serum levels of the pro-inflammatory cytokine interleukin-6 were significantly higher among MDE patients compared to HCs, however, no significant correlation was found with claudin-5 levels. In conclusion, as indicated by preclinical studies, our clinical study suggests a possible specific interaction between the NVU/BBB marker claudin-5 and the inflammatory marker TNF-α in the pathogenesis of depression.