Depression is a mental illness that has a serious negative impact on physical and mental health. The pathophysiology of depression is still unknown, and therapeutic medications have drawbacks, such as poor effectiveness, strong dependence, adverse drug withdrawal symptoms, and harmful side effects. Therefore, the primary purpose of contemporary research is to understand the exact pathophysiology of depression. The connection between astrocytes, neurons, and their interactions with depression has recently become the focus of great research interest. This review summarizes the pathological changes of neurons and astrocytes, and their interactions in depression, including the alterations of mid-spiny neurons and pyramidal neurons, the alterations of astrocyte-related biomarkers, and the alterations of gliotransmitters between astrocytes and neurons. In addition to providing the subjects of this research and suggestions for the pathogenesis and treatment techniques of depression, the intention of this article is to more clearly identify links between neuronal–astrocyte signaling processes and depressive symptoms.