Depression, which is a disease of heterogeneous etiology, is characterized by high disability and mortality rates. Gut microbiota are associated with the development of depression. To further explore any differences in the mechanisms of depression induced by gut microbiota and traditional stresses, as well as facilitate the development of microbiota-based interventions, a fecal microbiota transplantation (FMT) depression model was made. This was achieved by transplanting feces from major depressive disorder (MDD) patients into germ-free mice. Second, the mechanisms of the depression induced by gut microbiota were analyzed in comparison with those of the depression caused by different forms of stress. It turned out that mice exhibited depressive-like behavior after FMT. Then, PCR array analysis was performed on the hippocampus of the depressed mice to identify differentially expressed genes (DEGs). The KEGG analysis revealed that the pathways of depression induced by gut microbes are closely associated with immuno-inflammation. To determine the pathogenic pathways of physiological stress and psychological stress-induced depression, raw data was extracted from several databases and KEGG analysis was performed. The results from the analysis revealed that the mechanisms of depression induced by physiological and psychological stress are closely related to the regulation of neurotransmitters and energy metabolism. Interestingly, the immunoinflammatory response was distinct across different etiologies that induced depression. The findings showed that gut microbiota dysbiosis-induced depression was mainly associated with adaptive immunity, while physiological stress-induced depression was more linked to innate immunity. This study compared the pathogenesis of depression caused by gut microbiota dysbiosis, and physiological and psychological stress. We explored new intervention methods for depression and laid the foundation for precise treatment.