Patients with chronic inflammation are often associated with the emergence of depression symptoms, while diagnosed depressed patients show increased levels of circulating cytokines. Further studies revealed the activation of the brain immune cell microglia in depressed patients with a greater magnitude in individuals that committed suicide, indicating a crucial role for neuroinflammation in depression brain pathogenesis. Rapid advances in the understanding of microglial and astrocytic neurobiology were obtained in the past 15–20 years. Indeed, recent data reveal that microglia play an important role in managing neuronal cell death, neurogenesis, and synaptic interactions, besides their involvement in immune-response generating cytokines. The communication between microglia and neurons is essential to synchronize these diverse functions with brain activity. Evidence is accumulating that secreted extracellular vesicles (EVs), comprising ectosomes and exosomes with a size ranging from 0.1–1 μm, are key players in intercellular signaling. These EVs may carry specific proteins, mRNAs and microRNAs (miRNAs). Transfer of exosomes to neurons was shown to be mediated by oligodendrocytes, microglia and astrocytes that may either be supportive to neurons, or instead disseminate the disease. Interestingly, several recent reports have identified changes in miRNAs in depressed patients, which target not only crucial pathways associated with synaptic plasticity, learning and memory but also the production of neurotrophic factors and immune cell modulation. In this article, we discuss the role of neuroinflammation in the emergence of depression, namely dynamic alterations in the status of microglia response to stimulation, and how their activation phenotypes may have an etiological role in neurodegeneneration, in particular in depressive-like behavior. We will overview the involvement of miRNAs, exosomes, ectosomes and microglia in regulating critical pathways associated with depression and how they may contribute to other brain disorders including amyotrophic lateral sclerosis (ALS), Alzheimer’s disease (AD) and Parkinson’s disease (PD), which share several neuroinflammatory-associated processes. Specific reference will be made to EVs as potential biomarkers and disease monitoring approaches, focusing on their potentialities as drug delivery vehicles, and on putative therapeutic strategies using autologous exosome-based delivery systems to treat neurodegenerative and psychiatric disorders.