Major depressive disorder (MDD) is clinically heterogeneous, and peripheral inflammatory biomarkers may help clarify early biological mechanisms before illness chronicity or pharmacologic treatment confound interpretation. This systematic review synthesized evidence on peripheral inflammatory biomarkers in first-episode, drug-naïve major depressive disorder (FEDN-MDD) compared with healthy controls and examined associations with clinical severity. Following PRISMA 2020, searches of PubMed/MEDLINE, Embase, PsycINFO, and Scopus from inception to March 19, 2026 identified 313 records; after screening, 16 publications were included in qualitative synthesis. Studies varied in age group, biological matrix, assay platform, and statistical reporting, precluding meta-analysis. The most frequently assessed biomarkers were IL-1β, TNF-α, IL-6, and CRP/hs-CRP. IL-6 showed the clearest recurrent tendency toward elevation in FEDN-MDD, whereas CRP/hs-CRP findings were partially positive but methodologically limited. TNF-α and IL-1β findings were mixed, and clinical correlations with depressive severity were sparse and inconsistent. Overall, the evidence supports heterogeneous early immune dysregulation in a subset of patients with FEDN-MDD rather than a single reproducible inflammatory signature. Peripheral inflammatory biomarkers should currently be considered research tools for biological stratification and mechanistic hypothesis generation, pending larger standardized longitudinal studies.