Several lines of evidence have strongly implicated inflammatory processes in the pathobiology of major depressive disorder (MDD). However, the cellular origin of inflammatory signals and their specificity remain unclear. We examined the phenotype and glucocorticoid signaling in key cell populations of the innate immune system (monocytes) vs. adaptive immunity (T cells) in a sample of 35 well-characterized, antidepressant-free patients with MDD and 35 healthy controls individually matched for age, sex, smoking status and body mass index. Monocyte and T cell phenotype was assessed by flow cytometry. Cell-specific steroid signaling was determined by mRNA expression of pre-receptor regulation (11 beta-hydroxysteroid dehydrogenase type 1; 11 beta-HSD1), steroid receptor expression [glucocorticoid receptor (GR) and mineralocorticoid receptor (MR)], and the downstream target glucocorticoid-induced leucine-zipper (GILZ). We also collected salivary cortisol samples (8:00 a.m. and 10:00 p.m.) on two consecutive days. Patients showed a shift toward a pro-inflammatory phenotype characterized by higher frequency and higher absolute numbers of non-classical monocytes. No group differences were observed in major T cell subset frequencies and phenotype. Correspondingly, gene expression indicative of steroid resistance (i.e., lower expression of GR and GILZ) in patients with MDD was specific to monocytes and not observed in T cells. Monocyte phenotype and steroid receptor expression was not related to cortisol levels or serum levels of IL-6, IL-1 beta, or TNF-alpha. Our results thus suggest that in MDD, cells of the innate and adaptive immune system are differentially affected with shifts in monocyte subsets and lower expression of steroid signaling related genes.