Depression, often stress-induced, is closely related to neuroinflammation, in which microglia, the brain's immune cells, are the leading players. Microglia shift between a quiescent and an active state, promoting both pro- and anti-inflammatory responses. Cannabinoid type 2 (CB2) receptor encoded by the CNR2 gene is a key player to modulate inflammatory activity CB2 receptor is highly controlled at the epigenetic level, especially in response to stressful stimuli, positioning it between stress, neuroinflammation, and depression. The following review addresses how epigenetic regulation of CNR2 expression affects depression and the dissection, further, of molecular pathways driving neuroinflammation-related depressive states. The present study emphasizes the therapeutic potential of CB2 receptor agonists that selectively interact with activated microglia and opens a new avenue for the treatment of depression associated with neuroinflammation. The present research, therefore, provides a framework of underlying mechanisms for developing novel therapeutic strategies that focus on relieving symptoms by modulating the neuroinflammatory response. Finally, this review underlines the possibilities of therapeutic interventions taking into account CB2 receptors in combating depression.