The prevalence of depression in later life is higher in women than in men. However, the sex difference in the pathophysiology of depression in elderly patients is not fully understood. Here, we performed gene expression profiling in leukocytes of middle-aged and elderly patients with major depressive disorder, termed later-life depression (LLD) in this context, and we characterized the sex-dependent pathophysiology of LLD. A microarray dataset obtained from leukocytes of patients (aged ≥50 years) with LLD (32 males and 39 females) and age-matched healthy individuals (20 males and 24 females) was used. Differentially expressed probes were determined by comparing the expression levels between patients and healthy individuals, and then functional annotation analyses (Ingenuity Pathway Analysis, Reactome pathway analysis, and cell-type enrichment analysis) were performed. A total of 1656 probes were differentially expressed in LLD females, but only 3 genes were differentially expressed in LLD males. The differentially expressed genes in LLD females were relevant to leukocyte extravasation signaling, Tec kinase signaling and the innate immune response. The upregulated genes were relevant to myeloid lineage cells such as CD14+ monocytes. In contrast, the downregulated genes were relevant to CD4+ and CD8+ T cells. Remarkable innate immune signatures are present in the leukocytes of LLD females but not males. Because inflammation is involved in the pathophysiology of depression, the altered inflammatory activity may be involved in the pathophysiology of LLD in women. In contrast, abnormal inflammation may be an uncommon feature in LLD males.