Patients with major depressive disorder (MDD) have clinically relevant, significant decreases in bone mineral density (BMD). We sought to determine if predictive markers of bone inflammation—the osteoprotegerin (OPG)-RANK-RANKL system or osteopontin (OPN)—play a role in the bone abnormalities associated with MDD and, if so, whether ketamine treatment corrected the abnormalities. The OPG-RANK-RANKL system plays the principal role in determining the balance between bone resorption and bone formation. RANKL is the osteoclast differentiating factor and diminishes BMD. OPG is a decoy receptor for RANKL, thereby increasing BMD. OPN is the bone glue that acts as a scaffold between bone tissues matrix composition to bind them together and is an important component of bone strength and fracture resistance. Twenty-eight medication-free inpatients with treatment-resistant MDD and 16 healthy controls (HCs) participated in the study. Peripheral bone marker levels and their responses to IV ketamine infusion in MDD patients and HCs were measured at four time points: at baseline, and post-infusion at 230 min, Day 1, and Day 3. Patients with MDD had significant decreases in baseline OPG/RANKL ratio and in plasma OPN levels. Ketamine significantly increased both the OPG/RANKL ratio and plasma OPN levels, and significantly decreased RANKL levels. Bone marker levels in HCs remained unaltered. We conclude that the OPG-RANK-RANKL system and the OPN system play important roles in the serious bone abnormalities associated with MDD. These data suggest that, in addition to its antidepressant effects, ketamine also has a salutary effect on a major medical complication of depressive illness.