Background Patients with major depressive disorder have varying response rates to treatment. Multiple factors such as non-adherence, comorbidity, chronic stressors, and biological factors may be responsible for this variation. Inflammatory (pro and anti) markers have been well studied as a cause for depression, predisposing factors, and a consequence of depression. Among these, interleukins (ILs), interferons, C-reactive protein (CRP), and tumor necrosis factor-alpha (TNF-α) have been studied repeatedly. We conducted a pilot study to assess the levels of these inflammatory markers in patients with major depressive disorder. The specific objectives of this study were to compare and correlate changes in pro- and anti-inflammatory markers throughout different phases of depression, including pretreatment and posttreatment periods, and to evaluate the pattern of pro- and anti-inflammatory markers in patients who experienced remission or showed a positive response to treatment. Methodology This was a prospective, clinic-based, cohort study done for a period of one and a half years. Patients aged 18-65 years with depressive disorder per the International Classification of Diseases Tenth Edition and who scored more than 7 on the Hamilton Depression Rating Scale were included in this study. A total of 81 patients were recruited who were followed up till eight weeks after inclusion. A total of 31 patients completed the eight weeks of follow-up. Levels of IL-10 and TNF-α were assessed at baseline, two weeks, four weeks, and eight weeks of follow-up. Results This study tried to compare the levels of pro- and anti-inflammatory markers across pretreatment and various posttreatment phases of depression. Results showed that the levels of pro-inflammatory cytokine TNF-α increased from baseline till eight weeks of follow-up, and levels of IL-10 decreased from baseline till eight weeks of follow-up. However, these changes were not statistically significant. Conclusions This study supports the hypothesis that inflammatory markers can be trait markers of depression rather than the consequence or result.