Depression affects 7% of the elderly population, and it often remains misdiagnosed or untreated. Peripheral biomarkers might aid clinicians by allowing more accurate and well-timed recognition of the disease. We sought to determine if plasma protein levels predict the severity of depressive symptomatology or distinguish patients from healthy individuals. The severity of depressive symptoms and global cognitive functioning were assessed by the Geriatric Depression Scale (GDS) and Mini-Mental State Examination (MMSE) in 152 elderly subjects, 76 of which with major depressive disorder (MDD). Plasma levels of 24 proteins were measured by multiplexing and analyzed as continuous predictors or dichotomized using the median value. The association between individual plasma proteins and MDD risk or depressive symptoms severity was investigated using multiple logistic and linear regressions including relevant covariates. Sensitivity analyses were performed excluding cognitively impaired individuals or non-acute patients with MDD. After adjusting for possible confounders and false discovery rate (FDR) correction, we found lower Fetuin-A levels in MDD patients vs. controls (pFDR = 1.95 × 10–6). This result was confirmed by the sensitivity and dichotomized analyses. Lower prolactin (PRL) levels predicted more severe depressive symptoms in acute MDD patients (pFDR = 0.024). Fetuin-A is a promising biomarker of MDD in the elderly as this protein was negatively associated with the disorder in our sample, regardless of the global cognitive functioning. Lower PRL levels may be a peripheral signature of impaired neuroprotective processes and serotoninergic neurotransmission in more severely depressed patients.