Vitamin D binding protein (VDBP) is a potential biomarker of major depressive disorder (MDD). This study demonstrates for the first time that VDBP is highly expressed in core emotion‐related brain regions of mice susceptible to chronic unpredictable mild stress (CUMS). Specifically, the overexpression of microglia (MG)‐derived VDBP in the prelimbic leads to depression‐like behavior and aggravates CUMS‐induced depressive phenotypes in mice, whereas conditional knockout of MG‐derived VDBP can reverse both neuronal damage and depression‐like behaviors. Mechanistically, the binding of MG‐derived VDBP with the neuronal receptor megalin mediates the downstream SRC signaling pathway, leading to neuronal and synaptic damage and depression‐like behaviors. These events may be caused by biased activation of inhibitory neurons and excitatory–inhibitory imbalance. Importantly, this study has effectively identified MG‐derived VDBP as a pivotal mediator in the interplay between microglia and neurons via its interaction with the neuronal receptor megalin and intricate downstream impacts on neuronal functions, thus offering a promising therapeutic target for MDD.