Major depressive disorder is a highly debilitating psychiatric disorder involving the dysfunction of different cell types in the brain. Microglia are the predominant resident immune cells in the brain and exhibit a critical role in depression. Recent studies have suggested that depression can be regarded as a microglial disease. Microglia regulate inflammation, synaptic plasticity, and the formation of neural networks, all of which affect depression. In this review, we highlighted the role of microglia in the pathology of depression. First, we described microglial activation in animal models and clinically depressed patients. Second, we emphasized the possible mechanisms by which microglia recognize depression-associated stress and regulate conditions. Third, we described how antidepressants (clinical medicines and natural products) affect microglial activation. Thus, this review aimed to objectively analyze the role of microglia in depression and focus on potential antidepressants. These data suggested that regulation of microglial actions might be a novel therapeutic strategy to counteract the adverse effects of devastating mental disorders.