Inflammatory processes involving altered microglial activity may play a relevant role in the pathophysiology of depressive disorders. Glial fibrillary acidic protein (GFAP) and calcium-binding protein S100B are considered microglial markers. To date, their role has been studied in the serum and tissue material of patients with unipolar depression but not in the cerebrospinal fluid (CSF). Therefore, the aim of the current study was to examine GFAP and S100B levels in the CSF of patients with major depression to better understand their role in affective disorders. In this retrospective study, 102 patients with unipolar depression and 39 mentally healthy controls with idiopathic intracranial hypertension were investigated. GFAP and S100B levels were measured using commercially available ELISA kits. CSF routine parameters were collected during routine clinical care. The mean values of GFAP and S100B were compared using age (and sex) corrected ANOVAs. Matched subgroups were analyzed by using an independent sample t-test. In addition, correlation analyses between GFAP/S100B levels and CSF routine parameters were performed within the patient group. Patients with unipolar depression had significantly higher levels of GFAP than controls (733.22 pg/ml vs. 245.56 pg/ml, p < 0.001). These results remained significant in a sub-analysis in which all controls were compared with patients suffering from depression matched 1:1 by age and sex (632.26 pg/ml vs. 245.56 pg/ml, p < 0.001). Levels of S100B did not differ significantly between patients and controls (1.06 ng/ml vs. 1.17 ng/ml, p = 0.385). GFAP levels correlated positively with albumin quotients (p < 0.050), S100B levels correlated positively with white blood cell counts (p = 0.001), total protein concentrations (p < 0.001), and albumin quotients (p = 0.001) in the CSF. The significance of the study is limited by its retrospective and open design, methodological aspects, and the control group with idiopathic intracranial hypertension. In conclusion, higher GFAP levels in patients with depression may be indicative of altered microglia activity, especially in astrocytes, in patients with unipolar depression. In addition, correlation analyses support the idea that S100B levels could be related to the integrity of the blood-brain/CSF barrier. Further multimodal and longitudinal studies are necessary to validate these findings and clarify the underlying biological processes.