Depression is a common and disabling disorder, representing a major social and economic health issue. Moreover, depression is associated with the progression of diseases with an inflammatory etiology including many inflammatory-related disorders. At the molecular level, the mechanisms by which depression might promote the onset of these diseases and associated immune-dysfunction are not well understood. In this study we assessed genome-wide patterns of DNA methylation in whole blood-derived DNA obtained from individuals with a self-reported history of depression (n = 100) and individuals without a history of depression (n = 100) using the Illumina 450K microarray. Our analysis identified six significant (Šidák corrected P < 0.05) depression-associated differentially methylated regions (DMRs); the top-ranked DMR was located in exon 1 of the LTB4R2 gene (Šidák corrected P = 1.27 × 10-14). Polygenic risk scores (PRS) for depression were generated and known biological markers of inflammation, telomere length (TL) and IL-6, were measured in DNA and serum samples, respectively. Next, we employed a systems-level approach to identify networks of co-methylated loci associated with a history of depression, in addition to depression PRS, TL and IL-6 levels. Our analysis identified one depression-associated co-methylation module (P = 0.04). Interestingly, the depression-associated module was highly enriched for pathways related to immune function and was also associated with TL and IL-6 cytokine levels. In summary, our genome-wide DNA methylation analysis of individuals with and without a self-reported history of depression identified several candidate DMRs of potential relevance to the pathogenesis of depression and its associated immune-dysfunction phenotype.