Inflammatory markers such as cytokines represent potential biomarkers for major depressive disorder (MDD). Many, generally small studies have examined the role of single markers and found significant associations. We assessed 42 inflammatory markers, namely cytokines, in the blood of 321 control subjects and 887 MDD cases. We tested whether individual inflammatory marker levels were significantly affected by MDD case/control status, current episode, or current depression severity, co-varying for age, sex, body mass index (BMI), smoking, current antidepressant use, ethnicity, assay batch and study effects. We further used machine learning algorithms to investigate if we could use our data to blindly discriminate MDD patients, or those in a current episode. We found broad and powerful influences of confounding factors on log-protein levels. Notably, IL-6 levels were very strongly influenced by BMI (p = 1.37 x 10-43, variance explained = 18%), while Interleukin-16 was the most significant predictor of current depressive episode (p = 0.003, variance explained = 0.9%, q < 0.1). No single inflammatory marker predicted MDD case/control status when a subject was not in a depressed episode, nor did any predict depression severity. Machine learning results revealed that using inflammatory marker data with clinical confounder information significantly increased precision for differentiating MDD patients who were in an episode. To conclude, a wide panel of inflammatory markers alongside clinical information may aid in predicting the onset of symptoms, but no single inflammatory protein is likely to represent a clinically useful biomarker for MDD diagnosis or prognosis. We note that the potential influence of physical health related and population stratification related confounders on inflammatory biomarker studies in psychiatry is considerable.