Major depressive disorder (MDD) is a severe mental disorder associated with significant functional impairment and decreased quality of life. Growing evidence suggests that immune-inflammatory mechanisms, particularly cytokine dysregulation, take part in its development and course. This systematic review and meta-analysis aimed to evaluate whether cytokine alterations are present in early stages of MDD, specifically in first-episode (FE) and drug-naïve (DN) patients. Following PRISMA guidelines a comprehensive search of PubMed, Scopus, and Web of Science was conducted in March 2025. Studies were eligible if they compared levels of inflammatory cytokines between adult FE or DN MDD patients and healthy controls (HCs). Meta-analyses using random-effects models were performed, including subanalyses depending on the source of the sample and the quality of the studies. In total, 17 eligible studies involving 1371 MDD patients were included. The meta-analysis showed significantly elevated levels of interleukin 6 (IL-6), interleukin 2 (IL-2), and tumor necrosis factor alfa (TNF-α) in FE patients compared to HCs. DN patients’ quantitative analysis showed increased levels of IL-6, IL-2, interleukin 4 (IL-4), interleukin 10 (IL-10), TNF-α, and interferon gamma (IFN-γ) compared to healthy individuals. Moreover, in the case of TNF-α, IL-2, interleukin 1 beta (IL-1β), and IL-4, there was a difference in results depending on the sample source (plasma/serum). Cytokine dysregulation is present in first-episode and drug-naïve MDD individuals. These findings highlight that the immune–inflammatory response exists in the early stages of this disorder. Moreover, since more cytokines were elevated in DN patients, pharmacological antidepressant treatment might be a significant factor involved in inflammatory regulation in MDD. Nonetheless, future prospective studies with standardized protocols and division by clinical subtypes are needed to better understand the dynamics and clinical relevance of cytokine alterations in depression.