Major depressive disorder is a severe and the most prevalent form of neuropsychiatric disorder that affects millions of individuals worldwide. The current treatment focuses on brain monoamine hypothesis and conventional antidepressants that inhibit the reuptake of monoamine neurotransmitters to elevate synaptic monoamine concentrations to interact with postsynaptic receptors. However, many people with major depressive disorder fail to respond to conventional therapies experiencing relapse and significant functional impairment. It is increasingly recognized that glia-associated inflammatory mechanisms contribute to the pathophysiology of major depressive disorder. Furthermore, microglial nicotinic cholinergic mechanisms were recently proposed to play a critical role in major depressive disorder-linked inflammatory processes. In this review, we will provide recent advances on glial dysfunctions, the role of inflammatory cytokines, transcription factors, and brain derived neurotrophic factor underlying the pathophysiology of major depressive disorder. We will also evaluate and discuss the anti-inflammatory effects of nicotinic acetylcholine receptor positive allosteric modulators and glial nicotinic receptor-mediated mechanisms that might be responsive to potential pharmacologic interventions. Overall, these important, but underappreciated, roles of brain glial targets and mechanisms might offer new therapeutic opportunities for major depressive disorder.