The role of gut microbiota and its association with the central nervous system via the microbiome-brain-gut axis has been widely discussed in the literature. The aim of this review is to investigate the impact of gut microbiota on the development of depression and underlying molecular mechanisms. There are two possible pathways in which this interaction might occur. The first one suggests that depressive disorder could lead to dysbiosis and one of the causes may be the influence on the hypothalamic-pituitary-adrenal (HPA) axis. The second one considers if changes in the composition of gut microbiota might cause depressive disorder. The mechanisms that could be responsible for this interaction include the secretion of neurotransmitters, gut peptides and the activation of the immune system. However, current knowledge on this topic does not allow for us to state an unambiguous conclusion, and future studies that take into consideration more precise stress-measurement methods are needed to further explore direct mechanisms of the interaction between gut microbiota and mental health.