Gut-brain axis is a dynamic, complex, and bidirectional communication network between the gut and brain. Changes in the microbiota-gut-brain axis are responsible for developing various metabolic, neurodegenerative, and neuropsychiatric disorders. According to clinical and preclinical findings, the gut microbiota is a significant regulator of the gut-brain axis. In addition to interacting with intestinal cells and the enteric nervous system, it has been discovered that microbes in the gut can modify the central nervous system through metabolic and neuroendocrine pathways. The metabolites of the gut microbiome can modulate a number of diseases by inducing epigenetic alteration through DNA methylation, histone modification, and non-coding RNA-associated gene silencing. Short-chain fatty acids, especially butyrate, are well-known histone deacetylases inhibitors. Similarly, other microbial metabolites such as folate, choline, and trimethylamine-N-oxide also regulate epigenetics mechanisms. Furthermore, various studies have revealed the potential role of microbiome dysbiosis and epigenetics in the pathophysiology of depression. Hence, in this review, we have highlighted the role of gut dysbiosis in epigenetic regulation, causal interaction between host epigenetic modification and the gut microbiome in depression and suggest microbiome and epigenome as a possible target for diagnosis, prevention, and treatment of depression.