Inflammation impacts basal ganglia motor circuitry in association with psychomotor retardation, a key symptom of major depression (MD). We previously reported associations between circulating protein inflammatory biomarkers and psychomotor slowing as measured by neuropsychological tests probing psychomotor speed in patients with MD. To discover novel transcriptional signatures in peripheral blood immune cells related to psychomotor slowing, microarray data were analyzed in a primary cohort of 88 medically-stable, unmedicated, ambulatory MD patients. Results were confirmed and extended in a second cohort of 57 patients with treatment resistant depression (TRD) before and after anti-inflammatory challenge with the tumor necrosis factor antagonist infliximab versus placebo. Composite scores reflecting pure motor and cognitive-motor processing speed were linearly associated with 403 and 266 gene transcripts in each cohort, respectively (|R| > 0.30, p < 0.01), that were enriched for cytokine signaling and glycolysis-related pathways (p < 0.05). Unsupervised clustering in the primary cohort revealed two psychomotor slowing-associated gene co-expression modules that were enriched for interferon, interleukin-6, aerobic glycolysis, and oxidative phosphorylation pathways (p < 0.05, q < 0.1). Transcripts were predominantly derived from monocytes, plasmacytoid dendritic cells, and natural killer cells (p's < 0.05). In infliximab-treated TRD patients with high plasma C-reactive protein concentrations (>5 mg/L), two differential co-expression modules enriched for oxidative stress and mitochondrial degradation were associated with improvements in psychomotor reaction time (p < 0.05). These results indicate that inflammatory signaling and associated metabolic reprogramming in peripheral blood immune cells are associated with systemic inflammation in depression and may affect relevant brain circuits to promote psychomotor slowing.