Multiple studies show an association between inflammatory markers and major depressive disorder (MDD). People with chronic low-grade inflammation may be at an increased risk of MDD, often in the form of sickness behaviors. We hypothesized that inflammation is predictive of the severity and the course of a subset of MDD symptoms, especially symptoms that overlap with sickness behavior, such as anhedonia, anorexia, low concentration, low energy, loss of libido, psychomotor slowness, irritability, and malaise. We tested the association between basal and lipopolysaccharide (LPS)-induced inflammatory markers with individual MDD symptoms (measured using the Inventory of Depressive Symptomatology Self-Report) over a period of up to 9 years using multivariate-adjusted mixed models in 1147–2872 Netherlands Study of Depression and Anxiety (NESDA) participants. At baseline, participants were on average 42.2 years old, 66.5% were women and 53.9% had a current mood or anxiety disorder. We found that basal and LPS-stimulated inflammatory markers were more strongly associated with sickness behavior symptoms at up to 9-year follow-up compared with non-sickness behavior symptoms of depression. However, we also found significant associations with some symptoms that are not typical of sickness behavior (e.g., sympathetic arousal among others). Inflammation was not related to depression as a unified syndrome but rather to the presence and the course of specific MDD symptoms, of which the majority were related to sickness behavior. Anti-inflammatory strategies should be tested in the subgroup of MDD patients who report depressive symptoms related to sickness behavior.