Psychiatric diseases are the manifestations that result from the individual’s genetic structure, physiology, immunology and ways of coping with environmental stressors. The current psychiatric diagnostic systems do not include any systematic characterization in regard to neurobiological processes that reveal the clinical picture in individuals who got psychiatric diagnosis. It is obvious that further research in different areas is needed to understand the psychopathology. The problems in the functions of immune system and the correlation of neuroinflammatory processes with psychiatric disorders have been one of the main research topics of psychiatry in recent years and have contributed to our understanding of psychopathology. Recent advances in the fields of immunology and genetics as well as rapidly increasing knowledge on the effects of immunological processes on brain functions have drawn attention to the correlations between psychiatric disorders and immune system dysfunctions. There are still unfilled gaps in the biology, pathophysiology, and treatment of major depressive disorder, which is quite prevalent among the psychiatric disorders, can lead to significant disability, and frequently has a recurrent course. It appears that low-grade chronic neuroinflammation plays a key role in forming a basis for the interaction between psychological stress, impaired gut microbiota and major depressive disorder. In this review, the role of neuroinflammation in the etiopathogenesis of depression and the mechanism of action of the gut-brain axis that leads to this are discussed in the light of current studies.