Major depressive disorder (MDD) is a highly prevalent psychiatric disorder, whose pathophysiology has been linked to the neuroinflammatory process. The increased activity of the Nod-like receptor pyrin containing protein 3 (NLRP3) inflammasome, an intracellular multiprotein complex, is intrinsically implicated in neuroinflammation by promoting the maturation and release of proinflammatory cytokines such as interleukin (IL)-1β and IL-18. Interestingly, individuals suffering from MDD have higher expression of NLRP3 inflammasome components and proinflammatory cytokines when compared to healthy individuals. In part, intense activation of the inflammasome may be related to autophagic impairment. Noteworthy, some conventional antidepressants induce autophagy, resulting in less activation of the NLRP3 inflammasome. In addition, the fast-acting antidepressant ketamine, some bioactive compounds and physical exercise have also been shown to have anti-inflammatory properties via inflammasome inhibition. Therefore, it is suggested that modulation of inflammasome-driven pathways may have an antidepressant effect. Here, we review the role of the NLRP3 inflammasome in the pathogenesis of MDD, highlighting that pathways related to its priming and activation are potential therapeutic targets for the treatment of MDD.