Major depressive disorder (MDD) affects more than cognition, having a temporal relationship with neuroinflammatory pathways of Parkinson’s disease (PD). Although this association is supported by epidemiological and clinical studies, the underlying mechanisms are unclear. Microglia and astrocytes play crucial roles in the pathophysiology of both MDD and PD. In PD, these cells can be activated by misfolded forms of the protein α-synuclein to release cytokines that can interact with multiple different physiological processes to produce depressive symptoms, including monoamine transport and availability, the hypothalamus-pituitary axis, and neurogenesis. In MDD, glial cell activation can be induced by peripheral inflammatory agents that cross the blood brain barrier and/or c-Fos signaling from neurons. The resulting neuroinflammation can cause neurodegeneration due to oxidative stress and glutamate excitotoxicity, contributing to PD pathology. Astrocytes are another major link due to their recognised role in the glymphatic clearance mechanism. Research suggesting that MDD causes astrocytic destruction or structural atrophy highlight the possibility that accumulation of α-synuclein in the brain is facilitated as the brain cannot adequately clear the protein aggregates. This review examines research into the overlapping pathophysiology of MDD and PD with particular focus on the roles of glial cells and neuroinflammation.