Previous studies suggest immunological alterations in patients with first-episode psychosis (FEP). Some studies show that antipsychotic compounds may cause immunomodulatory effects. To evaluate the immunological changes and the possible immunomodulatory effects in FEP, we recruited patients with FEP (n = 67) and matched controls (n = 38), aged 18–40 years, from the catchment area of the Helsinki University Hospital and the City of Helsinki, Finland. Fasting peripheral blood samples were collected between 8 and 10 a.m. in 10 ml PAXgene tubes. We applied the NanoString nCounter in-solution hybridization technology to determine gene expression levels of 147 candidate genes reflecting activation of the immune system. Cases had higher gene expression levels of BDKRB1 and SPP1/osteopontin compared with controls. Of the individual medications used as monotherapy, risperidone was associated with a statistically significant upregulation of 11 immune system genes, including cytokines and cytokine receptors (SPP1, IL1R1, IL1R2), pattern recognition molecules (TLR1, TLR2 and TLR6, dectin-1/CLEC7A), molecules involved in apoptosis (FAS), and some other molecules with functions in immune activation (BDKRB1, IGF1R, CR1). In conclusion, risperidone possessed strong immunomodulatory properties affecting mainly innate immune response in FEP patients, whereas the observed effects of quetiapine and olanzapine were only marginal. Our results further emphasize the importance of understanding the immunomodulatory mechanisms of antipsychotic treatment, especially in terms of specific compounds, doses and duration of medication in patients with severe mental illness. Future studies should evaluate the response pre- and post-treatment, and the possible role of this inflammatory activation for the progression of psychiatric and metabolic symptoms.