Vitamin D binding protein (VDBP) is a potential biomarker of major depressive disorder (MDD). This study demonstrates for the first time that VDBP is highly expressed in core emotion-related brain regions of mice susceptible to chronic unpredictable mild stress (CUMS). Specifically, the overexpression of microglia (MG)-derived VDBP in the prelimbic leads to depression-like behavior and aggravates CUMS-induced depressive phenotypes in mice, whereas conditional knockout of MG-derived VDBP can reverse both neuronal damage and depression-like behaviors. Mechanistically, the binding of MG-derived VDBP with the neuronal receptor megalin mediates the downstream SRC signaling pathway, leading to neuronal and synaptic damage and depression-like behaviors. These events may be caused by biased activation of inhibitory neurons and excitatory–inhibitory imbalance. Importantly, this study has effectively identified MG-derived VDBP as a pivotal mediator in the interplay between microglia and neurons via its interaction with the neuronal receptor megalin and intricate downstream impacts on neuronal functions, thus offering a promising therapeutic target for MDD.