Depression is the most common mental disorder and has become a heavy burden in modern society. Clinical studies have identified early life stress as one of the high-risk factors for increased susceptibility to depression. Alteration of the hypothalamic-pituitary-adrenal (HPA) axis in response to stress is one of the key risk factors for depression susceptibility related to early life stress. Laboratory animal studies have demonstrated that maternal separation (MS) for extended periods elicits HPA axis changes. These changes persist into adulthood and resemble those present in depressed adult individuals, including hyperactivity of the HPA axis. In addition, there is growing evidence that inflammation plays an important role in depression susceptibility concerned with early life stress. Individuals that have experienced MS have higher levels of pro-inflammatory cytokines and are susceptible to depression. Recently, it has been found that the gut microbiota plays an important role in regulating behavior and is also associated with depression. The translocation of gut microbiota and the change of gut microbiota composition caused by early stress may be a reason. In this review, we discussed the mechanisms by which early life stress contributes to the development of depression in terms of these factors. These studies have facilitated a systematic understanding of the pathogenesis of depression related to early life stress and will provide new ideas for the prevention and treatment of depression.