Objective Eotaxin is a chemokine that exerts negative effects on neurogenesis. We recently showed that peripheral eotaxin levels correlate with both lower gray matter volume and poorer executive performance in older adults with major depressive disorder. These findings suggest that the relationship between eotaxin and set‐shifting may be accounted for by lower gray matter volume in specific regions. Prior studies have identified specific gray matter regions that correlate with set‐shifting performance, but have not examined whether these specific gray matter regions mediate the cross‐sectional association between eotaxin and set‐shifting. Method In 27 older adults (mean age: 68 ± 5.2 years) with major depressive disorder, we performed a whole brain (voxel‐wise) analysis testing whether/where gray matter density statistically mediates the cross‐sectional association of eotaxin and set‐shifting performance. Results We found the association between eotaxin and set‐shifting performance was fully statistically mediated by lower gray matter density in left middle cingulate, right pre‐/post‐central, lingual, inferior/superior frontal, cuneus, and middle temporal regions. Conclusion The regions identified above may be both susceptible to a potential neurodegenerative effect of eotaxin, and critical to preserving set‐shifting function. Longitudinal and intervention studies are needed to further evaluate whether targeting eotaxin levels will prevent neurodegeneration and executive impairment in older adults with depression.