Depression is a neurological disorder that profoundly affects human physical and mental health, resulting in various changes in the central nervous system. Despite several prominent hypotheses, such as the monoaminergic theory, hypothalamic-pituitary-adrenal (HPA) axis theory, neuroinflammation, and neuroplasticity, the current understanding of depression’s pathogenesis remains incomplete. Importantly, depression is a gender-dimorphic disorder, with women exhibiting higher incidence rates than men. Given estrogen's pivotal role in the menstrual cycle, it is reasonable to postulate that its fluctuating levels could contribute to the pathogenesis of depression. Estrogen acts by binding to a diversity of receptors, which are widely distributed in the central nervous system. An abundance of research has established that estrogen and its receptors play a crucial role in depression, spanning pathogenesis and treatment. In this comprehensive review, we provide an in-depth analysis of the fundamental role of estrogen and its receptors in depression, with a focus on neuroinflammation, neuroendocrinology, and neuroplasticity. Furthermore, we discuss potential mechanisms underlying the therapeutic effects of estrogen in the treatment of depression, which may pave the way for new antidepressant drug development and alternative treatment options.