Major depressive disorder (MDD) is a common disorder influenced by biopsychosocial factors. There is conflicting and insufficient evidence regarding the role of neuropeptides such as Orexin-A and Oxytocin (OCT) and its association with empathy in MDD. This study aimed to address this question which is not only important for a better neurobiological understanding but could also lead to novel biomarkers. Sixty-nine antidepressant-free patients (48 females, 21 males) diagnosed with MDD according to DSM-5 criteria and 32 healthy controls (19 females, 13 males) were included. Serum Orexin-A and OCT levels were measured, and empathy and depression were assessed using the Basic Empathy Scale and the Hamilton Depression Rating Scale. Patients showed lower cognitive empathy than controls (Z = 4.161, p < 0.001), with significant differences only in females. Emotional and total empathy scores did not differ between groups. Patients had higher serum OCT levels (Z = 1.989, p = 0.047), while Orexin-A levels showed no clear group differences. Longer illness duration and more depressive episodes were modestly associated with higher emotional and total empathy. OCT levels showed a weak positive association with cognitive empathy. Lower cognitive empathy and elevated OCT levels may relate to depressive pathology, but further studies are needed to clarify these relationships.