Prospective studies have shown during the years preceding and following menopause, also known as “menopause transition”, that midlife women are at higher risk for developing first-onset major depressive disorder (MDD). The biological factors associated with risk and resilience in this population are, however, largely unknown. Considering the growing body of evidence suggesting that inflammation, oxidative stress, and brain-derived neurotrophic factor (BDNF) are associated with the pathophysiology of MDD, we investigated serum levels of protein carbonyl, lipid peroxidation (thiobarbituric acid reactive substances—TBARS), thiol group content, BDNF, 3-nitrotyrosine, and heat shock protein 70 (HSP70) in a longitudinal cohort of first-onset MDD. One hundred and forty-eight women from the Harvard Study of Moods and Cycles, a prospective study of midlife women monitored throughout the transition to menopause, were studied. Within- and between-groups analyses of these peripheral markers were conducted in 37 women who developed and 111 women that did not develop MDD during the 3-year follow-up period. In women who developed MDD, HSP70 and 3-nitrotyrosine were elevated at baseline, whereas TBARS were elevated 6 months prior to development of MDD, as compared to those who did not develop MDD. Within-group analyses showed that HSP70, 3-nitrotyrosine, and BDNF decreased over time, whereas protein carbonyl was elevated only at 12 months prior to development of MDD. In women who did not develop MDD, HSP70 and thiol decreased over time. The development of MDD in midlife women may be associated with a systemic cascade of pro-oxidative and pro-inflammatory events including increased HSP70, 3-nitrotyrosine, protein carbonyl, and lipid peroxidation and decreased BDNF.