This study aimed at identifying molecular biomarkers of inflammation-related depression in order to improve diagnosis and treatment. For this, we performed whole-genome expression profiling from peripheral blood in a naturalistic model of inflammation-associated major depressive disorder (MDD) represented by comorbid depression in obese patients. We took advantage of the marked reduction of depressive symptoms and inflammation following bariatric surgery to test the robustness of the identified biomarkers. Depression was assessed during a clinical interview using Mini-International Neuropsychiatric Interview and the 10-item, clinician-administered, Montgomery-Asberg Depression Rating Scale. From a cohort of 100 massively obese patients, we selected 33 of them for transcriptomic analysis. Twenty-four of them were again analyzed 4-12 months after bariatric surgery. We conducted differential gene expression analyses before and after surgery in unmedicated MDD and non-depressed obese subjects. We found that TP53 (Tumor Protein 53), GR (Glucocorticoid Receptor), and NFκB (Nuclear Factor kappa B) pathways were the most discriminating pathways associated with inflammation-related MDD. These signaling pathways were processed in composite z-scores of gene expression that were used as biomarkers in regression analyses. Results showed that these transcriptomic biomarkers highly predicted depressive symptom intensity at baseline and their remission after bariatric surgery. While inflammation was present in all patients, GR signaling over-activation was found only in depressed ones where it may further increase inflammatory and apoptosis pathways. In conclusion, using an original model of inflammation-related depression and its remission without antidepressants, we provide molecular predictors of inflammation-related MDD and new insights in the molecular pathways involved.