The pro-inflammatory cytokines IL-1α, IL-6 and TNF-α are associated with major depressive disorder, psychological distress, cardiovascular health and obesity. However, there is limited research that has examined multiple associations between these variables, particularly among individuals with major depressive disorder who are treatment free, in comparison with a control cohort, and including analyses of sex differences. In this study, data were analysed from 60 individuals with major depressive disorder and 60 controls, including plasma IL-1α, IL-6 and TNF-α, adiposity measures (body mass index, waist circumference), cardiovascular health indices (blood pressure, heart rate) and psychological symptoms (depressive severity, anxiety, hostility, stress). The cytokines were compared by group and sex and correlated with measures of adiposity, cardiovascular health indices and psychological health. Plasma IL-1α and IL-6 were higher in major depressive disorder group versus control, but with a sex interaction for IL-6, with this group difference only among females. TNF-α did not differ between groups. IL-1α and IL-6 correlated with depressive severity, anxiety, hostility and stress, whereas TNF-α correlated only with anxiety and hostility. Psychopathology was associated with IL-1α in males only and with IL-6 and TNF-α in females only. None of the cytokines correlated with body mass index, waist circumference, blood pressure or heart rate. The result of group by sex interaction for IL-6 and sex-specific associations between pro-inflammatory cytokines and psychometrics could be aetiologically important in depression interventions and treatments for females versus males, warranting further investigation.