Previous studies have demonstrated increased levels of serum markers of systemic inflammation and immune system function among individuals with depressive symptoms. Despite these observations, the biological mechanisms behind this association remain elusive. The objective of the present analysis was to examine the individual and joint associations of white blood cell counts, platelet counts, and C-reactive protein with depression severity and to determine whether oxidative stress might mediate these associations. We conducted an analysis of 3867 subjects from the 2005-2006 National Health and Nutritional Examination Survey. Ordinal logistic regression was used to assess associations between three levels of depression symptom severity (as measured by the nine-item Patient Health Questionnaire) and serum C-reactive protein, white blood cell counts, platelet counts, and four surrogate markers of oxidative stress. Covariates included sex, age, smoking status, physical activity, education, poverty to income ratio, as well as medication use and medical conditions influencing inflammation levels. In separate models, the risk of moderate to severe depression was significantly greater in the highest quartiles of CRP (OR=1.84. 95 percent confidence interval (CI)=1.35-2.52), WBC (OR=1.70, CI=1.31-2.19), and platelet counts (OR=1.41, CI=1.13-1.76) after adjusting for basic sociodemographic and behavioral factors. After additional adjustment for medication use and oxidative stress surrogate measures, the highest quartile of WBC counts remained associated with depression (OR=1.60, CI=1.23-2.09). Adjustment for oxidative stress measures did not substantially affect estimated associations of inflammation/immunologic markers. In summary, we observed significantly elevated white blood cell counts among subjects with moderate and severe depression, and oxidative stress and a medical history of inflammatory diseases do not appear to mediate this association. Although limited through its use of cross-sectional data, this is the first analysis to simultaneously consider immunologic and oxidative stress markers. Further research is needed to identify the biological basis for this persistent association.