There is now evidence that major depression is accompanied by lowered serum zinc, an immune-inflammatory biomarker. However, the effect of anti-inflammatory drugs as adjuvant to antidepressants on serum zinc and copper in relation to pro- and anti-inflammatory cytokines are not studied. The aim of the present work is to examine the effects of treatment with sertraline with and without ketoprofen on serum levels of zinc and copper in association with immune-inflammatory biomarkers in drug-naïve major depressed patients. We measured serum zinc and copper, interleukin (IL)-1β, IL-4, IL-6, IL-18, interferon (IFN)-γ, and transforming growth factor (TGF)-β1 in 40 controls and 133 depressed patients. The clinical efficacy of the treatment was measured using the Beck Depression Inventory-II (BDI-II) at baseline and 8 weeks later. In drug-naïve major depressed patients we found significantly reduced baseline levels of serum zinc and copper in association with upregulation of all cytokines, indicating activation of the immune-inflammatory responses system (IRS) as well as the compensatory immune regulatory system (CIRS). Treatment with sertraline significantly increased zinc and decreased copper levels, while ketoprofen did not have a significant add-on effect on zinc but attenuated the suppressant effects of sertraline on copper levels. During treatment, there was a significant inverse association between serum zinc and activation of the IRS/CIRS. The improvement in the BDI-II during treatment was significantly associated with increments in serum zinc coupled with attenuation of the IRS/CIRS. In conclusion, lower serum zinc is a hallmark of depression, while increments in serum zinc and attenuation of the immune-inflammatory response during treatment appear to play a role in the clinical efficacy of sertraline. Intertwined changes in zinc levels and the immune response play a role in the pathophysiology of major depression and participate in the mechanisms underpinning the clinical efficacy of antidepressants.