There is robust evidence that major depression (MDD) is accompanied by a low-grade activation of the immune-inflammatory response system, which is involved in the pathophysiology of this disorder. It is also becoming apparent that glia cells are in reciprocal communication with neurons and orchestrate various neuromodulatory, homeostatic, metabolic, and immune mechanisms and have a crucial role in neuroinflammatory mechanisms in MDD. Those cells mediate the central nervous system (CNS) response to systemic inflammation and psychological stress, but at the same time, they may be an origin of the inflammatory response in the CNS. The sources of activation of the inflammatory response in MDD are immense, however, in recent years, it is becoming increasingly evident that the gastrointestinal tract with gut-associated lymphoid tissue (GALT) and increased intestinal permeability to bacterial LPS and food-derived antigens contribute to activation of low-grade inflammatory response with subsequent psychiatric manifestations. Furthermore, an excessive permeability to gut-derived antigenic material may lead to subsequent autoimmunities which are also known to be comorbid with MDD. In this chapter, we discuss fascinating interactions between the gastrointestinal tract, increased intestinal permeability, intestinal microbiota, and glia-neuron crosstalk, and their roles in the pathogenesis of the inflammatory hypothesis of MDD. To emphasize those crucial intercommunications for the brain functions, we propose the term of microbiota-gut-immune-glia (MGIG) axis.