Major depressive disorder (MDD) is a prevalent psychiatric disorder that has damage to people's quality of life. Tryptophan is the precursor to serotonin, a critical neurotransmitter in mood modulation. In mammals, most free tryptophan is degraded by the kynurenine pathway (KP), resulting in a range of metabolites involved in inflammation, immune response, and neurotransmission. The imbalance between quinolinic acid (QA), a toxic metabolite, and kynurenic acid (KynA), a protective metabolite, is a relevant phenomenon involved in the pathophysiology of MDD. Proinflammatory cytokines increase the activity of the enzyme indoleamine 2,3-dioxygenase (IDO), leading to the degradation of tryptophan in the KP and an increase in the release of QA. IDO activates proinflammatory genes, potentiating neuroinflammation and deregulating other physiological mechanisms related to chronic stress and MDD. This review highlights the physiological mechanisms involved with stress and MDD, which are underlying an imbalance of the KP and discuss potential therapeutic targets.