Major depressive disorder (MDD) involves systemic changes in peripheral blood and gut microbiota, but the current understanding is incomplete. Herein, we conducted a multi-omics analysis of fecal and blood samples obtained from an observational cohort including MDD patients (n = 99) and healthy control (HC, n = 50). 16S rRNA sequencing of gut microbiota showed structural alterations in MDD, as characterized by increased Enterococcus. Metagenomics sequencing of gut microbiota showed substantial functional alterations including upregulation in the superpathway of the glyoxylate cycle and fatty acid degradation and downregulation in various metabolic pathways in MDD. Plasma metabolomics revealed decreased amino acids and bile acids, together with increased sphingolipids and cholesterol esters in MDD. Notably, metabolites involved in arginine and proline metabolism were decreased while sphingolipid metabolic pathway were increased. Mass cytometry analysis of blood immune cell subtypes showed rises in proinflammatory immune subsets and declines in anti-inflammatory immune subsets in MDD. Furthermore, our findings revealed disease severity-related factors of MDD. Interestingly, we classified MDD into two immune subtypes that were highly correlated with disease relapse. Moreover, we established discriminative signatures that differentiate MDD from HC. These findings contribute to a comprehensive understanding of the MDD pathogenesis and provide valuable resources for the discovery of biomarkers.