There are clinical parallels between the nature and course of depressive symptoms in major depressive disorder (MDD) and those of inflammatory disorders. However, the characterization of a possible immune system dysregulation in MDD has been challenging. Emerging data support the role of T-cell dysfunction. Here we report the association of MDD and antidepressant response to genes important in the modulation of the hypothalamic-pituitary-adrenal axis and immune functions in Mexican Americans with major depression. Specifically, single nucleotide polymorphisms (SNPs) in two genes critical for T-cell function are associated with susceptibility to MDD: PSMB4 (proteasome beta4 subunit), important for antigen processing, and TBX21 (T bet), critical for differentiation. Our analyses revealed a significant combined allele dose-effect: individuals who had one, two and three risk alleles were 2.3, 3.2 and 9.8 times more likely to have the diagnosis of MDD, respectively. We found associations of several SNPs and antidepressant response; those genes support the role of T cell (CD3E, PRKCH, PSMD9 and STAT3) and hypothalamic-pituitary-adrenal axis (UCN3) functions in treatment response. We also describe in MDD increased levels of CXCL10/IP-10, which decreased in response to antidepressants. This further suggests predominance of type 1 T-cell activity in MDD. T-cell function variations that we describe here may account for 47.8% of the attributable risk in Mexican Americans with moderate MDD. Immune function genes are highly variable; therefore, different genes might be implicated in distinct population groups.