Several studies have investigated the relationship between C-reactive protein (CRP) and serum lipid levels in Major Depression (MD), but no study has, to date, evaluated the impact of alexithymia on these parameters. Therefore, the aim of the present cross-sectional study was to evaluate the relationship between alexithymia, suicide risk, C-reactive protein (CRP) and serum lipid levels in adult outpatients suffering from moderate to severe MD. CRP and serum lipid levels data were analyzed in 145 drug-naïve adult outpatients (69 men, 76 women) with a DSM-IV diagnosis of MD. Alexithymia was measured with the 20-item Toronto Alexithymia Scale (TAS-20), depression severity was evaluated with the 17-item Hamilton Depression Rating Scale (HAM-D) and suicide risk was determined using the Scale of Suicide Ideation (SSI). Alexithymics showed altered serum lipid levels and higher CRP than non-alexithymics. In the linear regression models, lower total cholesterol levels and “Difficulty in Identifying Feelings” dimension of TAS-20 were significantly associated with depression severity, whereas lower high-density lipoprotein levels and “Difficulty in Identifying and Describing Feelings” dimensions of TAS-20 were associated with higher suicide risk. Authors discuss study limitations and future research needs.