Depression holds the title of the largest contributor to worldwide disability, with the numbers expected to continue growing. Currently, there are neither reliable biomarkers for the diagnosis of the disease nor are the current medications sufficient for a lasting response in nearly half of patients. In this comprehensive review, we analyze the previously established pathophysiological models of the disease and how the interplay between NLRP3 inflammasome activation and depression might offer a unifying perspective. Adopting this inflammatory theory, we explain how NLRP3 inflammasome activation emerges as a pivotal contributor to depressive inflammation, substantiated by compelling evidence from both human studies and animal models. This inflammation is found in the central nervous system (CNS) neurons, astrocytes, and microglial cells. Remarkably, dysregulation of the NLRP3 inflammasome extends beyond the CNS boundaries and permeates into the enteric and peripheral immune systems, thereby altering the microbiota-gut-brain axis. The integrity of the brain blood barrier (BBB) and intestinal epithelial barrier (IEB) is also compromised by this inflammation. By emphasizing the central role of NLRP3 inflammasome activation in depression and its far-reaching implications, we go over each area with potential modulating mechanisms within the inflammasome pathway in hopes of finding new targets for more effective management of this debilitating condition.