The Nod-like receptor pyrin containing 3 (NLRP3) inflammasome has been reported to be a convergent point linking the peripheral immune response induced by psychological stress and neuroinflammatory processes in the brain. We aimed to identify differences in the methylation profiles of the NLRP3 gene between major depressive disorder (MDD) patients and healthy controls (HCs). We also investigated the correlation of the methylation score of loci in NLRP3 with cortical thickness in the MDD group using magnetic resonance imaging (MRI) data. A total of 220 patients with MDD and 82 HCs were included in the study, and genome-wide DNA methylation profiling of the NLRP3 gene was performed. Among the total sample, 88 patients with MDD and 74 HCs underwent T1-weighted structural MRI and were included in the neuroimaging–methylation analysis. We identified five significant differentially methylated positions (DMPs) in NLRP3. In the MDD group, the methylation scores of cg18793688 and cg09418290 showed significant positive or negative correlations with cortical thickness in the occipital, parietal, temporal, and frontal regions, which showed significant differences in cortical thickness between the MDD and HC groups. Our findings suggest that NLRP3 DNA methylation may predispose to depression-related brain structural changes by increasing NLRP3 inflammasome-related neuroinflammatory processes in MDD.