The gut microbiota is a complex and dynamic ecosystem essential for the proper functioning of the organism, affecting the health and disease status of the individuals. There is continuous and bidirectional communication between gut microbiota and the host, conforming to a unique entity known as “holobiont”. Among these crosstalk mechanisms, the gut microbiota synthesizes a broad spectrum of bioactive compounds or metabolites which exert pleiotropic effects on the human organism. Many of these microbial metabolites can cross the blood–brain barrier (BBB) or have significant effects on the brain, playing a key role in the so-called microbiota-gut-brain axis. An altered microbiota-gut-brain (MGB) axis is a major characteristic of many neuropsychiatric disorders, including major depressive disorder (MDD). Significative differences between gut eubiosis and dysbiosis in mental disorders like MDD with their different metabolite composition and concentrations are being discussed. In the present review, the main microbial metabolites (short-chain fatty acids -SCFAs-, bile acids, amino acids, tryptophan -trp- derivatives, and more), their signaling pathways and functions will be summarized to explain part of MDD pathophysiology. Conclusions from promising translational approaches related to microbial metabolome will be addressed in more depth to discuss their possible clinical value in the management of MDD patients.