Depression remains one of the most prevalent psychiatric disorders, with many patients not responding adequately to available treatments. Chronic or early-life stress is one of the key risk factors for depression. In addition, a growing body of data implicates chronic inflammation as a major player in depression pathogenesis. More recently, the gut microbiota has emerged as an important regulator of brain and behavior and also has been linked to depression. However, how this holy trinity of risk factors interact to maintain physiological homeostasis in the brain and body is not fully understood. In this review, we integrate the available data from animal and human studies on these three factors in the etiology and progression of depression. We also focus on the processes by which this microbiota-immune-stress matrix may influence centrally mediated events and on possible therapeutic interventions to correct imbalances in this triune.