Objective: Numerous studies have demonstrated that High-Density Lipoprotein (HDL) has antioxidant and antiinflammatory roles. Uric acid to HDL ratio (UHR), non-HDL cholesterol to HDL ratio (NHHR), monocyte to HDL ratio (MHR), neutrophil to HDL ratio (NHR), total cholesterol to HDL ratio (TCHR), triglyceride to HDL ratio (TGHR) can serve as inflammation and oxidative stress markers in multiple diseases. However, few studies have estimated the associations of these indicators with major depressive disorder (MDD) and bipolar disorder (BD) in different genders. Methods: Based on 14,266 patients with MDD or BD and 8308 healthy subjects from China, we analyzed the associations between these indicators and diseases as well as gender. Results: 8201 MDD patients, 4069 patients with BD manic episodes (BDM) and 1996 patients with BD depressive episodes (BDD) were included. The HDL-related indicators displayed unique variation patterns across different disease groups and genders. In males, the BDM group displayed highest NHR, MHR, UHR and lowest NHHR and TCHR, lower UHR and NHHR were risk factors of MDD, lower NHHR was risk factors of BDD, higher MHR and lower NHHR were risk factors of BDM. In females, the BDM group displayed highest NHR, MHR and UHR, higher TGHR was risk factor of MDD, higher MHR, TGHR and UHR were risk factors of BDD, higher NHR, MHR, TGHR and UHR were risk factors of BDM. Conclusions: Gender-specific differences in HDL-related profile among BDM, BDD and MDD patients were demonstrated, highlighting gender-specific role of HDL-related indicators in the pathophysiology of MDD and BD.