Depression is a chronic disease with a complex multifactorial and still not fully clarified etiology. Due to new insights after recent investigations of the microbiota-gut-brain (MGB) axis, a relationship between a disrupted gut microbiota composition and the probability to develop a depression can be assumed. This hypothesis is supported by evidence that there is a strong communication between gut microbiota and the central nervous system (CNS) and that this communication is mediated through the MGB axis. Apparently, this bidirectional axis can be modulated by environmental factors, such as stress, pharmaceuticals (in particular antibiotics) and dietary habits. Moreover, modulation of this axis can also result in mood alterations. As the hypothalamic-pituitary-adrenal (HPA) axis is a key element regulating the MGB axis and is also related to the pathophysiology of depression, it is important to understand the relationship between both biological systems. An English language literature search was conducted using the biomedical database PubMed. We used combined terms, such as "gut microbiota", "depression", "hypothalamic-pituitary-adrenal axis" or "microbiota-gut-brain axis". The current literature supports the idea that the MGB axis has an impact on the risk to develop depression and that stress modulation through the HPA axis plays a key role in this context.