The search for genetic variants underlying major depressive disorder (MDD) has not yet provided firm leads to its underlying molecular biology. A complementary approach is to study gene expression in relation to MDD. We measured gene expression in peripheral blood from 1848 subjects from The Netherlands Study of Depression and Anxiety. Subjects were divided into current MDD (N=882), remitted MDD (N=635) and control (N=331) groups. MDD status and gene expression were measured again 2 years later in 414 subjects. The strongest gene expression differences were between the current MDD and control groups (129 genes at false-discovery rate, FDR<0.1). Gene expression differences across MDD status were largely unrelated to antidepressant use, inflammatory status and blood cell counts. Genes associated with MDD were enriched for interleukin-6 (IL-6)-signaling and natural killer (NK) cell pathways. We identified 13 gene expression clusters with specific clusters enriched for genes involved in NK cell activation (downregulated in current MDD, FDR=5.8 × 10−5) and IL-6 pathways (upregulated in current MDD, FDR=3.2 × 10−3). Longitudinal analyses largely confirmed results observed in the cross-sectional data. Comparisons of gene expression results to the Psychiatric Genomics Consortium (PGC) MDD genome-wide association study results revealed overlap with DVL3. In conclusion, multiple gene expression associations with MDD were identified and suggest a measurable impact of current MDD state on gene expression. Identified genes and gene clusters are enriched with immune pathways previously associated with the etiology of MDD, in line with the immune suppression and immune activation hypothesis of MDD.