In 2011, it was reviewed that there is a strong co-occurrence between major depression and chronic fatigue syndrome (CFS), with fatigue and physio-somatic symptoms being key symptoms of depression, and depressive symptoms appearing during the course of CFS. Moreover, the comorbidity between both conditions may in part be explained by activated immune-inflammatory pathways, including increased translocation of Gram-negative bacteria and increased levels of pro-inflammatory cytokines, such as interleukin (IL)-1. Nevertheless, the possible involvement of activated microglia in this comorbidity has remained unclear. This paper aims to review microglial disturbances in major depression, CFS and their comorbidity. A comprehensive literature search was conducted using the PubMed / MEDLINE database to identify studies that are relevant to this current review. Depressed patients present neuroinflammatory alterations, probably related to microglial activation, while animal models show that a microglial response to immune challenges including lipopolysaccharides is accompanied by depressive-like behaviors. Recent evidence from preclinical studies indicate that activated microglia have a key role in the onset of fatigue. In chronic inflammatory conditions, such as infections and senescence, microglia orchestrate an inflammatory microenvironment thereby causing fatigue. In conclusion, based on our review we may posit that shared immune-inflammatory pathways and activated microglia underpin comorbid depression and CFS and that activated microglia are the main orchestrators of this comorbidity. As such, microglial activation and neuro-inflammation may be promising targets to treat the overlapping manifestations of both depression and CFS.