One aspect of goal-directed behavior, which is known to be impaired in patients with schizophrenia (SZ), is balancing between exploiting a familiar choice with known reward value and exploring a lesser known, but potentially more rewarding option. Despite its relevance to several symptom domains of SZ, this has received little attention in SZ research. In addition, while there is increasing evidence that SZ is associated with chronic low-grade inflammation, few studies have investigated how this relates to specific behaviors, such as balancing exploration and exploitation. We therefore assessed behaviors underlying the exploration–exploitation trade-off using a three-armed bandit task in 45 patients with SZ and 19 healthy controls (HC). This task allowed us to dissociate goal-unrelated (random) from goal-related (directed) exploration and correlate them with psychopathological symptoms. Moreover, we assessed a broad range of inflammatory proteins in the blood and related them to bandit task behavior. We found that, compared to HC, patients with SZ showed reduced task performance. This impairment was due to a shift from exploitation to random exploration, which was associated with symptoms of disorganization. Relative to HC, patients with SZ showed a pro-inflammatory blood profile. Furthermore, high-sensitivity C-reactive protein (hsCRP) positively correlated with random exploration, but not with directed exploration or exploitation. In conclusion, we show that low-grade inflammation in patients with SZ is associated with random exploration, which can be considered a behavioral marker for disorganization. hsCRP may constitute a marker for severity of, and a potential treatment target for maladaptive exploratory behaviors.