This study explores potential associations between the methylation of promoter-associated CpG sites of the toll-like receptor (TLR)-family, plasma levels of pro-inflammatory proteins and depressive symptoms in young female psychiatric patients. Ratings of depressive symptoms and blood samples were obtained from 92 young women seeking psychiatric care. Methylation of 32 promoter-associated CpG sites in TLR1 to TLR10 was analysed using the Illumina Infinium Methylation EPIC BeadChip. Expression levels of 91 inflammatory proteins were determined by proximity extension assay. Statistical correlations between depressive state, TLR1-10 methylation and inflammatory proteins were investigated. Four additional cohorts were studied to evaluate the generalizability of the findings. In the discovery cohort, methylation grade of cg05429895 (TLR4) in blood was inversely correlated with depressive symptoms score in young adults. After correction for multiple testing, plasma levels of macrophage inflammatory protein 1β (MIP-1β/CCL4) were associated with both TLR4 methylation and depressive symptom severity. A similar inverse association between TLR4 methylation in blood and affective symptoms score was also found in a cohort of 148 both males and females (<40 years of age) from the Danish Twin Registry. These findings were not, however, replicated in three other external cohorts; which differed from the first two cohorts by a higher age and mixed ethnicities, thus limiting the generalizability of our findings. However, TLR4 methylation inversely correlated with TLR4 mRNA expression in the Danish Twin Study indicating a functional significance of methylation at this particular CpG. Higher depression scores in young Scandinavian adults was associated with decreased methylation of TLR4 in blood.