The purpose of this study was to assess the association between IL-6 and CRP with depressive items and cognitive function. We included 112 outpatients with major depression from an exercise trial and 57 healthy controls. IL-6, high sensitive CRP (hsCRP), and cognitive function were assessed in all subjects. After baseline assessment, patients were randomised to either a 3months exercise intervention or an exercise control group. Post-intervention IL-6, hsCRP, depressive symptoms, and cognitive function were reassessed in the patient group. IL-6 and hsCRP were significantly increased in depressed patients compared to healthy controls (p=0.02 and 0.04). These differences were no longer significant after adjustment for lifestyle associated variables. We found no association between immune markers and specific depressive symptoms at baseline or as change over time. Regarding the cognitive tests, IL-6 was positively associated with Serial sevens (p=0.008) and hsCRP was inversely associated with Trail making A (p=0.02) and design fluency (p=0.001) at baseline. At 3months follow-up IL-6 and hsCRP levels did not significantly change from baseline and did not differ between the two patient groups. Depression scores was lower compared to baseline but did not differ between groups. Combining the two groups, a decrease in IL-6 was associated to decreased verbal fluency (p=0.02), and a decrease in hsCRP was associated with improvement in Trail making A (p=0.005). In conclusion, the level of IL-6 and hsCRP was increased in depressed outpatients but was not associated to specific depressive symptoms. In terms of cognitive function, we found that higher hsCRP levels were associated to lower psychomotor speed both at baseline and at follow-up.