In the present study, we evaluated MDD severity using the Montgomery–Åsberg Depression Rating Scale (MADRS) and quantified mRNA levels of the blood inflammatory cytokines interleukin (IL) 1β, IL-6 and tumor necrosis factor alpha (TNF-α), as well as negative regulators of cytokine signaling—comprising IL-10, IL-1RA, SOCS1, SOCS2 and SOCS3—in MDD patients (n = 36), with a focus on mild MDD, and normal controls (NC, n = 30). This evidence concerns the gene SOCS2 and major depressive disorder.