Major depressive disorder (MDD) is a complex mental disorder where the neurochemical, neuroendocrine, immune, and metabolic systems are impaired. The microbiota-gut-brain axis is a bidirectional network where the central and enteric nervous systems are linked through the same endocrine, immune, neural, and metabolic routes dysregulated in MDD. Thus, gut-brain axis abnormalities in MDD patients may, at least in part, account for the symptomatic features associated with MDD. Recent investigations have suggested that the oral microbiome also plays a key role in this complex molecular picture of relationships. As on one hand there is a lot of what we know and on the other hand little of what we still need to know, we structured this review focusing, in the first place, on putting all pieces of this complex puzzle together, underlying the endocrine, immune, oxidative stress, neural, microbial neurotransmitters, and metabolites molecular interactions and systems lying at the base of gut microbiota (GM)–brain-depression interphase. Then, we focused on promising but still under-explored areas of research strictly linked to the GM and potentially involved in MDD development: (i) the interconnection of GM with oral microbiome that can influence the neuroinflammation-related processes and (ii) gut phageome (bacteria-infecting viruses). As conclusions and future directions, we discussed potentiality but also pitfalls, roadblocks, and the gaps to be bridged in this exciting field of research. By the development of a broader knowledge of the biology associated with MDD, with the inclusion of the gut/oral microbiome, we can accelerate the growth toward a better global health based on precision medicine.