Microglia are crucial immune cells found in the central nervous system. Multiple investigations have substantiated the correlation between the development of depression and neuroinflammation resulting from impaired microglial activity. Through extensive research on the phenotype, function, imaging technology, multi-omics analysis, and in vitro culture of microglia in depressive disorder, the understanding of the relationship between microglia and depression has become more intricate. Various therapeutic approaches have been suggested, but a thorough analysis of the obstacles to clinical application has not been conducted. This paper explores the innovative advancement of microglia detection technology, recent research findings on microglia identification and epigenetic modification, the variability of microglia in different conditions, the relationship between microglia dysfunction and the onset of depression, the progress and challenges of microglia-targeted therapy for depression, and the current obstacles and future prospects in studying dysregulated microglial function in depressive disorders.