Despite decades of intensive research on major depressive disorder (MDD), the pathogenesis of MDD is still unclear and the objectively diagnostic method remains unavailable. Therefore, we conducted this study to assess whether alpha 1-antitrypsin (AAT) could be a potential biomarker for diagnosing MDD. Here, the levels of AAT, liver function-related indicators, renal function-related indicators, blood lipids-related indicators, high sensitivity C-reactive protein, homocysteine and transferrin were detected. The orthogonal partial least-squares discriminant analysis (OPLS-DA) was used to find the differential variables, Random Forest was used to identify the simplified biomarker panel, and receiver-operating characteristic (ROC) curve analysis was used to evaluate the diagnostic performance of the identified panel. In total, 86 MDD patients and 99 healthy controls (HCs) were recruited. Finally, we found nine differential variables between MDD patients and HCs, and a potential biomarker panel consisting of AAT, albumin (ALB) and apolipoprotein A1 (APOA) was identified. This panel could effectively separate MDD patients from HCs in two independent samples sets. The level of AAT was significantly negatively correlated with HDRS score and improved after antidepressant treatment. Meanwhile, MDD patients with suicide idea or behavior had significantly lower AAT levels compared to MDD patients without suicide idea or behavior. Our results suggested that AAT held the promise to become a potential biomarker for diagnosing MDD, and also might be a potential novel therapeutic target for MDD.