Depression is the leading cause of disability worldwide, contributing to the global disease burden. From above, it is a priority to investigate models that fully explain its physiopathology to develop new treatments. In the last decade, many studies have shown that gut microbiota (GM) dysbiosis influences brain functions and participate, in association with immunity, in the pathogenesis of depression. Thereby, GM modulation could be a novel therapeutic target for depression. This review aims to evidence how the GM and the immune system influence mental illness, particularly depression. Here, we focus on the communication mechanisms between the intestine and the brain and the impact on the development of neuroinflammation contributing to the development of Major Depressive Disorder (MDD). However, most of the current findings are in animal models, suggesting the need for studies in humans. In addition, more analysis of metabolites and cytokines are needed to identify new pathophysiological mechanisms improving anti-depression treatments.