Chronic stress is a major risk factor for developing psychiatric conditions. In addition to elevating the levels of stress hormones released in the body, chronic stress activates the immune system, resulting in increased levels of proinflammatory cytokines and innate immune cells in the circulation of rodents and humans. Furthermore, exposure to chronic stress alters the phenotype of microglia, a population of innate immune cells that reside in the CNS parenchyma. In rodent models, chronic stress activates microglia in defined brain regions and induces changes in their phenotype and functional properties. In this review, we discussed how microglia are activated in stressful situations. Furthermore, we described how microglia affect the CNS environment during chronic stress, through the production of cytokines, the induction of reactive oxygen species, and phagocytosis. We suggested that, due to their strategic location as immune cells within the CNS, microglia are important players in the induction of psychopathologies after chronic stress.