Psychiatric disorders are mental illnesses involving changes in mood, cognition and behavior. Their prevalence has rapidly increased in the last decades. One of the most prevalent psychiatric disorders is major depressive disorder (MDD), a debilitating disease lacking efficient treatments. Increasing evidence shows that microbial and immunological changes contribute to the pathophysiology of depression and both are modulated by stress. This bidirectional relationship constitutes the brain-gut axis involving various neuroendocrine, immunological, neuroenterocrine and autonomic pathways. The present review covers the most recent findings on the relationships between stress, the gut microbiome and the inflammatory response and their contribution to depression.