Background This meta-analysis on peripheral blood compounds in drug-naïve first-episode patients with either schizophrenia or major depressive disorder (MDD) examined which compounds change following psychopharmacological treatment. Methods The Embase, PubMed and PsycINFO databases were systematically searched for longitudinal studies reporting measurements of blood compounds in drug-naïve first-episode schizophrenia or MDD. Results For this random-effects meta-analysis, we retrieved a total of 31 studies comprising 1818 schizophrenia patients, and 14 studies comprising 469 MDD patients. Brain-derived neurotrophic factor (BDNF) increased following treatment in schizophrenia (Hedges' g (g): 0.55; 95% confidence interval (CI) 0.39-0.70; p < 0.001) and MDD (g: 0.51; CI 0.06-0.96; p = 0.027). Interleukin (IL)-6 levels decreased in schizophrenia (g: -0.48; CI -0.85 to -0.11; p = 0.011), and for MDD a trend of decreased IL-6 levels was observed (g: -0.39; CI -0.87 to 0.09; p = 0.115). Tumor necrosis factor alpha (TNFα) also decreased in schizophrenia (g: -0.34; CI -0.68 to -0.01; p = 0.047) and in MDD (g: -1.02; CI -1.79 to -0.25; p = 0.009). Fasting glucose levels increased only in schizophrenia (g: 0.26; CI 0.07-0.44; p = 0.007), but not in MDD. No changes were found for C-reactive protein, IL-1β, IL-2 and IL-4. Conclusions Psychopharmacological treatment has modulating effects on BDNF and TNFα in drug-naïve first-episode patients with either schizophrenia or MDD. These findings support efforts for further research into transdiagnostic preventive strategies and augmentation therapy for those with immune dysfunctions.