Major depressive disorder (MDD) is associated with changes in the levels of the cations calcium (Ca) and magnesium (Mg) as well as circulating pro- and anti-inflammatory cytokines. The immune-inflammatory nature of MDD has encouraged researchers to use anti-inflammatory drugs as an adjuvant treatment for MDD. However, the effect of this treatment on cation levels has not been studied. The present study examined a) differences in both cations between drug-naïve MDD patients and controls, and b) the effects of a combination of sertraline and ketoprofen, an anti-inflammatory drug, on Ca and Mg (both total and ionized). In the same patients we also examined the associations between both cations and IL-1β, IL-4, IL-6, IL-18, IFN-γ, TGF-β1, zinc and indoleamine 2,3-dioxygenase (IDO). Clinical improvement was estimated using the Beck Depression Inventory-II (BDI-II) at baseline and after follow up for two months. Serum Ca and Mg (total and ionized) were significantly lower in MDD patients as compared with controls, while treatment significantly increased calcium but decreased magnesium levels. There were significant and inverse correlations between the BDI-II scores from baseline to endpoint and Ca (both total and ionized), but not Mg, levels. The effects of calcium on the BDI-II score remained significant after considering the effects of zinc, IDO and an immune activation z unit weighted composite score based on the sum of all cytokines. There was a significant and inverse association between this immune activation index and calcium levels from baseline to endpoint. In conclusion, reduced levels of both cations play a role in the pathophysiology of major depression. Increased calcium levels are coupled to the clinical efficacy of antidepressants and attenuation of immune activation. The suppressant effect of antidepressants on Mg levels may be a side effect of those drugs. New antidepressant treatments should be developed that increase the levels both Ca and Mg.