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Major depressive disorder (MDD) is frequently diagnosed in military personnel returning from deployment. Literature suggests that MDD is associated with a pro-inflammatory state. To the best of our knowledge, no prospective, longitudinal studies on the association between development of depressive symptomatology and cytokine production by peripheral blood leukocytes have been published. The aim of this study was to investigate whether the presence of depressive symptomatology six months after military deployment is associated with the capacity to produce cytokines, as assessed before and after deployment. 1023 military personnel were included before deployment. Depressive symptoms and LPS- and T-cell mitogen-induced production of 16 cytokines and chemokines in whole blood cultures were measured before (T0), 1 (T1), and 6 (T2) months after return from deployment. Exploratory structural equation modeling (ESEM) was used for data reduction into cytokine patterns. Multiple group latent growth modeling was used to investigate differences in the longitudinal course of cytokine production between individuals with (n = 68) and without (n = 665) depressive symptoms at T2. Individuals with depressive symptoms after deployment showed higher T-cell cytokine production before deployment. Moreover, pre-deployment T-cell cytokine production significantly predicted the presence of depressive symptomatology 6 months after return. There was an increase in T-cell cytokine production over time, but this increase was significantly smaller in individuals developing depressive symptoms. T-cell chemokine and LPS-induced innate cytokine production decreased over time and were not associated with depressive symptoms. These results indicate that increased T-cell mitogen-induced cytokine production before deployment may be a vulnerability factor for development of depressive symptomatology in response to deployment to a combat-zone. In addition, deployment to a combat-zone affects the capacity of T-cells and monocytes to produce cytokines and chemokines until at least 6 months after return.