Elevated serum levels of pro-inflammatory cytokines (IL-1β, TNF-α), immune checkpoint regulators (PD-1), and matrix metalloproteinases (MMP-9), together with decreased levels of the neurotrophic factor (BDNF) and the anti-inflammatory cytokine (IL-10), indicate a coordinated dysregulation at the immune–neural interface in AECOPD-associated depression. This evidence concerns the gene MMP9 and major depressive disorder.