We aimed to evaluate the neutrophil–lymphocyte (NLR) and platelet–lymphocyte (PLR) ratios of inpatients and outpatients suffering from different levels of major depression. In total, 100 inpatients and 60 patients treated at an outpatient clinic were included the study. The presence of mood and anxiety disorders was identified with the Structured Clinical Interview for the Diagnostic and Statistical Manual of Mental Disorders, Fourth Edition/Clinical Version, and the Hamilton Depression Rating Scale was used to assess the severity of major depression (MD). Inpatients and outpatients with MD did not differ in NLR or PLR. The PLRs of patients who had severe major depression with psychotic features were higher than those of patients with other types of depression, but no differences in NLRs were detected across types of depression. The PLRs were higher in patients with severe levels of major depression with psychotic features than in other patients. This parameter may be more predictive than is NLR for assessing the prognosis of major depression.