Major depressive disorder (MDD) is diagnosed twice as frequently in women compared to men. A disruption in brain circuits involved in emotion regulation may induce symptoms associated with MDD. Increasing evidence also indicates changes in activity within emotion regulation networks upon exposure to female gonadal hormones. Increased levels of stress reactivity in combination with low levels of protective female gonadal hormones may increase the risk for the development of MDD. GABAergic interneurons, some of which are ensheathed by perineuronal nets (PNNs), may facilitate alterations in the dynamics of neuronal networks in MDD. Microglia, which are the brain’s immune cells, are modulated by exposure to female gonadal hormones and glucocorticoids. Increased levels of stress reactivity, in combination with low levels of protective female gonadal hormones, may facilitate the aberrant modulation of GABAergic connections and the degradation of PNNs by microglia, leading to the disruption of emotion regulation circuits and the experience of psychiatric symptoms.