Chronic stress is a major risk factor for various psychiatric diseases, including depression; it triggers various cellular and structural changes, resulting in the alteration of neurocircuitry and subsequent development of depression. Accumulating evidence suggests that microglial cells orchestrate stress-induced depression. Preclinical studies of stress-induced depression revealed microglial inflammatory activation in regions of the brain that regulate mood. Although studies have identified several molecules that trigger inflammatory responses in microglia, the pathways that regulate stress-induced microglial activation remain unclear. Understanding the exact triggers that induce microglial inflammatory activation can help find therapeutic targets in order to treat depression. In the current review, we summarize the recent literature on possible sources of microglial inflammatory activation in animal models of chronic stress-induced depression. In addition, we describe how microglial inflammatory signaling affects neuronal health and causes depressive-like behavior in animal models. Finally, we propose ways to target the microglial inflammatory cascade to treat depressive disorders.