Major depressive disorder is caused by gene–environment interactions and the gut microbiota plays a pivotal role in the development of depression. However, the underlying mechanisms remain elusive. Herein, the differentially expressed hippocampal long non-coding RNAs (lncRNAs), messenger RNAs (mRNAs), and microRNAs (miRNAs) between mice inoculated with gut microbiota from major depressive disorder patients or healthy controls were detected, to identify the effects of gut microbiota-dysbiosis on gene regulation patterns at the transcriptome level, and in further to explore the microbial-regulated pathological mechanisms of depression. As a result, 200 mRNAs, 358 lncRNAs, and 4 miRNAs were differentially expressed between the two groups. Functional analysis of these differential mRNAs indicated dysregulated inflammatory response to be the primary pathological change. Intersecting these differential mRNAs with targets of differentially expressed miRNAs identified 47 intersected mRNAs, which were mainly related to neurodevelopment. Additionally, a microbial-regulated lncRNA–miRNA–mRNA network based on RNA–RNA interactions was constructed. Subsequently, according to the competitive endogenous RNAs (ceRNA) hypothesis and the biological functions of these intersected genes, two neurodevelopmental ceRNA sub-networks implicating in depression were identified, one including two lncRNAs (4930417H01Rik and AI480526), one miRNA (mmu-miR-883b-3p) and two mRNAs (Adcy1 and Nr4a2), and the other including six lncRNAs (5930412G12Rik, 6430628N08Rik, A530013C23Rik, A930007I19Rik, Gm15489, and Gm16251), one miRNA (mmu-miR-377-3p) and three mRNAs (Six4, Stx16, and Ube3a), and these molecules could be recognized as potential genetic and epigenetic biomarkers in microbial-associated depression. This study provides new understanding of the pathogenesis of depression induced by gut microbiota-dysbiosis and may act as a theoretical basis for the development of gut microbiota-based antidepressants.