First-episode psychosis (FEP) is associated with inflammatory and brain structural changes, but few studies have investigated whether systemic inflammation associates with brain structural changes in FEP. Thirty-seven FEP patients (median 27 days on antipsychotic medication), and 19 matched controls were recruited. Serum levels of 38 chemokines and cytokines, and cardiovascular risk markers were measured at baseline and 2 months later. We collected T1- and diffusion-weighted MRIs with a 3 T scanner from the patients at baseline. We analyzed the association of psychosis-related inflammatory markers with gray and white matter (WM) volume using voxel-based morphometry and WM diffusion using tract-based spatial statistics with whole-brain and region-of-interest (ROI) analyses. FEP patients had higher CCL22 and lower TGFα, CXCL1, CCL7, IFN-α2 and ApoA-I than controls. CCL22 decreased significantly between baseline and 2 months in patients but was still higher than in controls. The association between inflammatory markers and FEP remained significant after adjusting for age, sex, smoking and BMI. We did not observe a correlation of inflammatory markers with any symptoms or duration of antipsychotic treatment. Baseline CCL22 levels correlated negatively with WM volume and positively with mean diffusivity and radial diffusivity bilaterally in the frontal lobes in ROI analyses. Decreased serum level of ApoA-I was associated with smaller volume of the medial temporal WM. In whole-brain analyses, CCL22 correlated positively with mean diffusivity and radial diffusivity, and CXCL1 associated negatively with fractional anisotropy and positively with mean diffusivity and radial diffusivity in several brain regions. This is the first report to demonstrate an association between circulating chemokine levels and WM in FEP patients. Interestingly, CCL22 has been previously implicated in autoimmune diseases associated with WM pathology. The results suggest that an altered activation of innate immunity may contribute to WM damage in psychotic disorders.