Abstract: Objectives: Major depressive disorder (MDD) is a leading cause of disability, and chronic inflammation is a contributing factor to its onset and progression. This study examined the relationship between genetic predisposition to inflammation and MDD risk in a nationally representative sample of U.S. military veterans, as well as psychosocial moderators of this association. Methods: A composite polygenic risk score (PRS) for inflammatory biomarkers was derived from the UK Biobank and examined in relation to a positive MDD screen in 1,660 European-American veterans. The analysis adjusted for known correlates of inflammation and MDD, including medical conditions and cumulative trauma burden. Results: Each standard deviation increase in the inflammatory PRS was associated with more than two-fold increased odds of screening positive for MDD (OR = 2.51, 95% CI = 1.39–4.54). Interaction analyses revealed that optimism moderated this association; among those in the highest PRS tertile, individuals with high optimism were more than 30 times less likely to screen positive for MDD compared to those with low optimism (0.7% vs. 22.6%). Pathway-based analyses identified enrichment of immune- and brain-related gene sets, highlighting potential biological mechanisms linking inflammation and MDD. Conclusion: Findings suggest genetic risk for inflammation contributes to MDD vulnerability and that optimism may buffer this risk.