Major depressive disorder (MDD) is associated with repeated exposure to environmental stress. Autophagy is activated under various stress conditions that are associated with several diseases in the brain. This study was aimed at elucidating the autophagy signaling changes in the prefrontal cortex (PFC) under repeated social defeat (RSD) to investigate the involvement of microglial autophagy in RSD-induced behavioral changes. We found that RSD stress, an animal model of MDD, significantly induced initial autophagic signals followed by increased transcription of autophagy-related genes (Atg6, Atg7, and Atg12) in the PFC. Similarly, significantly increased transcripts of ATGs (Atg6, Atg7, Atg12, and Atg5) were confirmed in the postmortem PFC of patients with MDD. The protein levels of the prefrontal cortical LC3B were significantly increased, whereas p62 was significantly decreased in the resilient but not in susceptible mice and patients with MDD. This indicates that enhanced autophagic flux may alleviate stress-induced depression. Furthermore, we identified that FKBP5, an early-stage autophagy regulator, was significantly increased in the PFC of resilient mice at the transcript and protein levels. In addition, the resilient mice exhibited enhanced autophagic flux in the prefrontal cortical microglia, and the autophagic deficiency in microglia aggravated RSD-induced social avoidance, indicating that microglial autophagy involves stress-induced behavioral changes.