Neuroplasticity may have a core role in the pathophysiology of major depressive disorder (MDD), a concept supported by experimental studies that found that excessive cortisol secretion and/or excessive production of inflammatory cytokines impairs neuronal plasticity and neurogenesis in the hippocampus. The objective of this study was to examine how changes in the glucocorticoid and inflammatory systems may affect hippocampal volumes in MDD. A multimodal approach with structural neuroimaging of hippocampus and amygdala, measurement of peripheral inflammatory proteins interleukin (IL)-6 and C-reactive protein (CRP), glucocorticoid receptor (GR) mRNA expression, and expression of glucocorticoid-inducible genes (glucocorticoid-inducible genes Leucin Zipper (GILZ) and glucocorticoid-inducible kinase-1 (SGK-1)) was used in 40 patients with MDD and 43 healthy controls (HC). Patients with MDD showed smaller hippocampal volumes and increased inflammatory proteins IL-6 and CRP compared with HC. Childhood maltreatment was associated with increased CRP. Patients with MDD, who had less expression of the glucocorticoid-inducible genes GILZ or SGK-1 had smaller hippocampal volumes. Regression analysis showed a strong positive effect of GILZ and SGK-1 mRNA expression, and further inverse effects of IL-6 concentration, on hippocampal volumes. These findings suggest that childhood maltreatment, peripheral inflammatory and glucocorticoid markers and hippocampal volume are interrelated factors in the pathophysiology of MDD. Glucocorticoid-inducible genes GILZ and SGK-1 might be promising candidate markers for hippocampal volume changes relevant for diseases like MDD. Further studies need to explore the possible clinical usefulness of such a blood biomarker, for example, for diagnosis or prediction of therapy response.