Major depressive disorder (MDD) is a common psychiatric disorder with a multifactorial aetiology determined by the interaction between genetic and environmental risk factors. Pieces of evidence indicate that inflammation and immune activation may contribute to the onset of MDD playing a role in the pathogenetic mechanism. To date, it is not known to which extent the association between MDD and inflammation is shaped by the genetic background or by the presence of environmental factors. To clarify this issue, we analyzed genotype and blood RNA profiles of 463 MDD cases and 459 controls (NIMH-Study 88/Site621) estimating the Genetic and Environmental Regulated eXpression component of gene expression (GReX and EReX respectively). Both components were tested for association with MDD. Many genes belonging to the α/β interferon signaling pathway showed an association between MDD and EReX, only two between MDD and GReX. Also other MDD differentially expressed genes were more influenced by the EReX than by GReX. These results suggest that impact of the genetic background on MDD blood gene expression alterations is much lower than the contribution of environmental factors and almost absent for the genes of the interferon pathway.