The exact pathophysiology of major depressive disorder (MDD) remains elusive. The monoamine theory, which hypothesizes that MDD emerges as a result of dysfunctional serotonergic, dopaminergic and noradrenergic pathways, has guided the therapy of this illness for several decades. More recently, the involvement of activated immune, oxidative and nitrosative stress pathways and of decreased levels of neurotrophic factors has provided emerging insights regarding the pathophysiology of MDD, leading to integrated theories emphasizing the complex interplay of these mechanisms that could lead to neuroprogression. In this review, we propose an integrative model suggesting that T helper 17 (Th17) cells play a pivotal role in the pathophysiology of MDD through (i) microglial activation, (ii) interactions with oxidative and nitrosative stress, (iii) increases of autoantibody production and the propensity for autoimmunity, (iv) disruption of the blood–brain barrier, and (v) dysregulation of the gut mucosa and microbiota. The clinical and research implications of this model are discussed.