Chronic stress alters neural circuits in the brain, increasing the risk of depression and anxiety. 
The brain’s resident immune cells are called microglia.
They are responsible for fending off infections, but this is not their only role. They also help build and remodel neural circuits. Such activity is constantly going on in the brain.
Intermittently exposing the animals to stressful conditions over a few weeks, then examining the impact on their brains. As expected, the treatment provoked anxiety and depression-like behaviors in the mice.
Neurons in the brain’s prefrontal cortex—a region involved in complex functions such as decision making and social behavior—produce a signal that triggers microglia to begin remodeling neural circuits. As a result of these functional changes in microglia, neurons in the prefrontal cortex lose a portion of their synaptic connections. This is important because limited connectivity in the prefrontal cortex has been linked to major depression in clinical studies.
when neurons prevented from producing their microglia-stimulating signal, mice exposed to chronic stress did not develop signs of anxiety or depression. This means that interrupting stress-induced signaling between neurons and microglia might be a way to treat anxiety and depression in patients.