No well-established biomarkers are available for the clinical diagnosis of major depression disorder (MDD). Vitamin D-binding protein (VDBP) is altered in plasma and postmortem dorsolateral prefrontal cortex (DLPFC) tissues of MDD patients. Thereby, the role of VDBP as a potential biomarker of MDD diagnosis was further assessed. Total extracellular vesicles (EVs) and brain cell-derived EVs (BCDEVs) were isolated from the plasma of first-episode drug-naïve or drug-free MDD patients and well-matched healthy controls (HCs) in discovery (20 MDD patients and 20 HCs) and validation cohorts (88 MDD patients and 38 HCs). VDBP level in the cerebrospinal fluid (CSF) from chronic glucocorticoid-induced depressed rhesus macaques or prelimbic cortex from lipopolysaccharide (LPS)-induced depressed mice and wild control groups was measured to evaluate its relationship with VDBP in plasma microglia-derived extracellular vesicles (MDEVs). VDBP was significantly decreased in MDD plasma MDEVs compared to HCs, and negatively correlated with HAMD-24 score with the highest diagnostic accuracy among BCDEVs. VDBP in plasma MDEVs was decreased both in depressed rhesus macaques and mice. A positive correlation of VDBP in MDEVs with that in CSF was detected in depressed rhesus macaques. VDBP levels in prelimbic cortex microglia were negatively correlated with those in plasma MDEVs in depressed mice. The results suggested that VDBP in plasma MDEVs might serve as a prospective candidate biomarker for MDD diagnosis.