How the presence of inflammation has repercussions for brain function is a topic of active research into depression. Signals released from immune system-related cells, including chemokines, might be indicative of active depression and can, hypothetically, serve as biomarkers of response to interventions, both pharmacological and psychological. The objective of this study is to analyze the peripheral plasma concentrations of CXCL12, CCL11, CX3CL1 and CCL2 in a cohort of depressed primary-care patients, as well as their evolution after an internet-based cognitive-behavioral intervention. The concentrations of those chemokines were measured in 66 primary-care patients with mild and moderate depression, before and after the intervention, as well as 60 controls, using multiplex immunoassays. Concentrations of CXCL12 and CCL2 were significantly higher in the clinical sample in comparison with controls. A stable multivariate discriminative model between both groups was found. Concentrations of all chemokines decreased after the internet-based psychological intervention. These findings support the implication of chemokines in depression, even in a sample of patients with mild and moderate severity. Furthermore, they demonstrate the need for further multidisciplinary research that confirms how biomarkers such as plasma chemokines can serve as a marker for depression and are sensitive to non-pharmacological interventions.