The development, evaluation and use of biological markers with a diagnostic purpose in psychiatry is extremely important. However, with certain exceptions, truly sensitive and specific markers have not yet emerged. In order to investigate the relationship between the immune apparatus and the hypothalamic-pituitary activity on the one hand, and the psychopathological state of the patients on the other, we used a longitudinal design and assessed monocyte parameters (HLA-DR, CD 35, vimentin filaments, and phagocytosis index) and neuroendocrine tests (dexamethasone suppression test [DST] and thyrotropin-releasing hormone [TRH] stimulation test) at intake and at follow-up in 49 depressed patients. Immunological parameters were compared with neuroendocrine tests in both phases of the study. The combined use of both immunological and neuroendocrine tests did not add sensitivity to the immunological identification of depressed patients. The findings lead us to consider the role of the monocyte parameters as sensitive depressive state markers, while the combined use of both neuroendocrine and immunological tests in current clinical practice would be debatable.