Schizophrenia is a complex mental disorder. Accurate diagnosis and classification of schizophrenia has always been a major challenge in clinic due to the lack of biomarkers. Therefore, identifying molecular biomarkers, particularly in the peripheral blood, is of great significance. This study aimed to identify immune-related molecular biomarkers of schizophrenia in peripheral blood. Eighty-four Peripheral blood leukocytes of first-episode drug-naïve (FEDN) patients with schizophrenia and 97 healthy controls were collected and examined using high-throughput RNA-sequencing. Differentially-expressed genes (DEGs) were analysed. Weighted correlation network analysis (WGCNA) was employed to identify schizophrenia-associated module genes. The CIBERSORT algorithm was adopted to analyse immune cell proportions. Then, machine-learning algorithms including random forest, LASSO, and SVM-RFE were employed to screen immune-related predictive genes of schizophrenia. The RNA-seq analyses revealed 734 DEGs. Further machine-learning-based bioinformatic analyses screened out three immune-related predictive genes of schizophrenia (FOSB, NUP43, and H3C1), all of which were correlated with neutrophils and natural killer cells resting. Lastly, external GEO datasets were used to verify the performance of the machine-learning models with these predictive genes. In conclusion, by analysing the peripheral mRNA expression profiles of FEDN patients with schizophrenia, this study identified three predictive genes that could be potential molecular biomarkers for schizophrenia.