Major depressive disorder (MDD) is a highly disabling and recurrent mental disorder with a complex pathological mechanism involving various hypotheses, such as monoamine neurotransmitter imbalance, neuroinflammation, and impaired neuroplasticity. However, existing hypotheses cannot fully explain the pathogenesis of MDD. In recent years, the roles of astrocytes and microglia in the central nervous system have garnered significant attention. Studies have found that both are involved in the development and progression of MDD by regulating neurotransmitters, neuroinflammation, synaptic plasticity, and blood-brain barrier function. This article reviews the impact of astrocytes, microglia, and their interactions on the formation of major depressive disorder. Recent studies have revealed that astrocytes in MDD can polarize into either a neurotoxic phenotype (A1) or a neuroprotective phenotype (A2). A1 astrocytes are activated by inflammatory factors released by microglia [such as complement C1q (C1q), interleukin-1α (IL-1α), and tumor necrosis factor-α (TNF-α)], and exacerbate neuroinflammation through pro-inflammatory factors [interleukin-6 (IL-6), TNF-α], disrupt the blood-brain barrier, and induce neuronal apoptosis, thereby promoting the progression of MDD. In contrast, A2 astrocytes exert antidepressant effects by enhancing glutamate uptake, releasing neurotrophic factors [such as brain-derived neurotrophic factor (BDNF) and glial cell line-derived neurotrophic factor (GDNF)], and suppressing neuroinflammation. Microglia can polarize into a pro-inflammatory phenotype (M1) or an anti-inflammatory phenotype (M2). M1 microglia exacerbate neuroinflammation and synaptic damage through NOD-like receptor thermal protein domain-associated protein 3 (NLRP3) inflammasome activation, kynurenine pathway-mediated serotonin (5-HT) reduction, and glutamate toxicity, leading to depressive-like behaviors. Conversely, M2 microglia promote neural repair and alleviate depressive symptoms by releasing anti-inflammatory factors [such as interleukin-10 (IL-10) and transforming growth factor-β (TGF-β)] and neurotrophic factors (e.g., BDNF). Astrocytes and microglia collaboratively regulate the pathological process of MDD. For example, complement system-mediated aberrant synaptic pruning [e.g., C1q, complement C3 (C3)], neuroinflammation activated by the nuclear factor-kappa B (NF-κB) signaling pathway, and the cross-talk of cytokines [e.g., TNF-α, interleukin-1β (IL-1β)] all exacerbate the development of MDD. Furthermore, astrocytes regulate the polarization state of microglia via exosomal miRNAs [e.g., microRNA-138 (miR-138)] or the Sigma-1 receptor–inositol-requiring enzyme 1α–X-box binding protein 1 (SigmaR1–IRE1α–XBP1) signaling pathway, further influencing neuroinflammation and synaptic plasticity. In summary, the pathogenesis of major depressive disorder remains unclear, hindering the development of therapeutic drugs for MDD. The polarization states of astrocytes and microglia, as well as their interactions, play crucial roles in MDD. In-depth research on the relationship between these two types of glial cells, their interactions, and the onset of MDD may provide new perspectives for elucidating the mechanisms of MDD and offer potential targets for developing novel antidepressant drugs, thereby promoting more effective treatment strategies.