Responses of the hypothalamic-pituitary-adrenal axis (HPAA), immune system and metabolic pathways are involved in adaptation to stress, while alterations in these responses have been implicated in the development of major depressive disorder (MDD). Multiple laboratory indices are known to react in response to the acute stress, however, no valid biomarkers have been reported, which can differentiate stress response in depressed individuals. The aim of this study was to assess changes in a set of laboratory parameters in patients with MDD in response to a moderate mental stress and to find potential markers of altered stress reactivity associated with depression. A group of 33 MDD patients and 43 control subjects underwent clinical evaluation to assess depression and anxiety symptoms, as well as heart rate variability (HRV) analysis. Participants were asked to perform a time constrained cognitive task, and selected hormones (cortisol, ACTH), cytokines (IL-6, IL-1beta, TNF-alpha), neurotrophic factors (BDNF, CNTF) and metabolic parameters (glucose, cholesterol, triglycerides) were measured before and 60 min after the task performance. HRV analysis showed increased sympathetic input in MDD patients. The MDD group manifested an elevated HPAA activity as well as IL-6 and CNTF levels at baseline. A specific stress-induced increase in glucose and TNF-alpha was revealed in the MDD group, which was absent in control subjects. The data confirm the impairments of stress response in MDD and suggest that the reaction of simple metabolic and pro-inflammatory indices to a mild stressogenic challenge may be indicative of a depressive state.