Background The objective of this study is to measure the levels of sestrin-2 (SESN2) and hypoxia-inducible factor-1 alpha (HIF-1α), which can be determinants in the relevant physiopathology and etiology, assessment of the clinical severity, and identification of new treatment targets in major depressive disorder (MDD) and its subtypes. Methods A total of 230 volunteers, including 153 patients diagnosed with MDD according to the Diagnostic and Statistical Manual of Mental Disorders, Fifth Edition (DSM-5), and 77 healthy controls, were included in the study. Of the MDD patients included in the study, 40 had melancholic features, 40 had anxious distress features, 38 had atypical features, and the remaining 35 had psychotic features. All participants were administered the Beck’s Depression Inventory (BDI) and Clinical Global Impressions-Severity (CGI-S) scale. Serum SESN2 and HIF-1α levels of the participants were measured using the enzyme-linked immunosorbent assay (ELISA) method. Results The HIF-1α and SESN2 values of the patient group were found to be significantly lower than those of the control group ( p  < 0.05). The HIF-1α and SESN2 values were significantly lower in patients with melancholic, anxious distress, and atypical features compared to the control group ( p  < 0.05). The HIF-1α and SESN2 levels did not differ significantly between patients with psychotic features and the control group ( p  > 0.05). Conclusion The findings of the study suggested that knowledge of SESN2 and HIF-1α levels may contribute to the explanation of the etiology of MDD, objective assessment of the severity of the disease, and identification of new treatment targets.