•This study examines an immune mechanism that contributes to the antidepressant effects of whole-body hyperthermia.•Whole-body hyperthermia led to an acute, time-limited increase in the ratio of interleukin-6 (IL-6):soluble IL-6 receptor.•Increased ratio of IL-6:soluble IL-6 receptor was associated with the anti-depressant effect of whole-body hyperthermia. There is urgent need for novel antidepressant treatments that confer therapeutic benefits via engagement with identified mechanistic targets. The objective of the study was to determine whether activation of the classical anti-inflammatory interleukin-6 signaling pathways is associated with the antidepressant effects of whole-body hyperthermia. A 6-week, randomized, double-blind study compared whole-body hyperthermia with a sham condition in a university-based medical center. Medically healthy participants aged 18–65 years who met criteria for major depressive disorder, were free of psychotropic medication use, and had a baseline 17-item Hamilton Depression Rating Scale score ≥ 16 were randomized with 1-to-1 allocation in blocks of 6 to receive whole-body hyperthermia or sham. Of 338 individuals screened, 34 were randomized, 30 received interventions and 26 had ≥ 2 blood draws and depressive symptom assessments. Secondary data analysis examined change in the ratio of IL-6:soluble IL-6 receptor pre-intervention, post-intervention, and at weeks 1 and 4. Hierarchical linear modeling tested whether increased IL-6:soluble IL-6 receptor ratio post-intervention was associated with decreased depressive symptom at weeks 1, 2, 4 and 6 for those randomized to whole-body hyperthermia. Twenty-six individuals were randomized to whole-body hyperthermia n = 12; 75 % female; age = 37.9 years (SD = 15.3) or sham n = 14; 57.1 % female; age = 41.1 years (SD = 12.5). When compared to the sham condition, active whole-body hyperthermia only increased the IL-6:soluble IL-6 receptor ratio post-treatment F(3,72) = 11.73,p < .001, but not pre-intervention or at weeks 1 and 4. Using hierarchical linear modeling, increased IL-6:sIL-6R ratio following whole-body hyperthermia moderated depressive symptoms at weeks 1, 2, 4 and 6, such that increases in the IL-6:soluble IL-6 receptor ratio were associated with decreased depressive symptoms at weeks 1, 2, 4 and 6 for those receiving the active whole-body hyperthermia compared to sham treatment (B = –229.44, t = -3.82,p < .001). Acute activation of classical intereukin-6 signaling might emerge as a heretofore unrecognized novel mechanism that could be harnessed to expand the antidepressant armamentarium.