Depression is well-known to be a widespread, disabling mental disorder. In spite of the many theories that have been put forth to explain the underlying pathophysiology of depression, the exact pathophysiology remains uncertain. In this review, we aim to summarize pathophysiological pathways and experimental animal models for depression, focusing mainly on inflammatory pathways. Stress is a well-known predisposing factor for depression. So, we aim to demonstrate the link between stress and inflammation in depression pathophysiology, highlighting the role of microglia activation, the release of proinflammatory cytokines, and the production of neurotoxic metabolites. We also aim to show the link between inflammation and the disturbance of serotonin, which is also known as 5-hydroxytryptamine (5-HT), and norepinephrine (NE) levels in the brain. Activated microglia produce reactive oxygen species (ROS), which further enhances the inflammatory response. Additionally, we aim to illustrate the hypothalamic-pituitary-adrenal (HPA) axis hyperactivity that occurs as a result of stressful conditions and the consequent resistance of glucocorticoid receptors (GRs), leading to the failure of glucocorticoids to suppress inflammation. We also aim to demonstrate experimental animal models of depression that are based on psychological stress, such as the maternal separation model and the social defeat stress (SDS) model, as well as reviewing the lipopolysaccharide (LPS) inflammation-based model. We also aim to briefly review the widely used chronic unpredictable mild stress (CUMS) model.