The association between systemic inflammation, executive dysfunction, and gray matter (GM) volume difference in first-episode affective disorders, including bipolar and major depressive disorders, is unclear. Twenty-two patients with first-episode bipolar disorder, 22 age- and sex-matched patients with first-episode major depressive disorder, and 22 matched controls were enrolled in our study; all patients underwent comprehensive assessments, including clinical assessment, executive function examination (Wisconsin card sorting test [WCST]), proinflammatory cytokine receptors (soluble interleukin-6 receptor and tumor necrosis factor-α receptor 1 [TNFR1]), and brain magnetic resonance imaging. Voxel-based morphometry was performed to analyze the GM volume difference between bipolar and major depressive disorders. Patients with bipolar disorder were more likely to exhibit higher levels of TNFR1 (P = .038), more number of deficits in WCST (P < .05), and smaller GM volume in the middle frontal cortex (uncorrected voxel level P < .001) compared with those with major depressive disorder and healthy controls. Positive associations were observed between the middle frontal cortex volume, executive function, and the TNFR1 level. GM volume reduction in the middle frontal cortex, a greater level of systemic inflammation, and executive dysfunction were observed in first-episode affective disorders, especially bipolar disorder. A positive correlation between middle frontal cortex volume, executive function, and the TNFR1 level may indicate a divergent effect of brain and systemic inflammation functioning in the early phase (first episode) of affective disorder.