Inflammatory immune activation has been frequently associated with the development of major depression. This association was confirmed in patients receiving long-term treatment with pro-inflammatory interferon-α (IFN-α). Microglia, the resident immune cells in the brain, might serve as an important interface in this immune system-to-brain communication. The aim of the present study was to investigate the role of microglia in an IFN-α mouse model of immune-mediated depression. Male BALB/c mice were treated with daily injections of IFN-α for two weeks. Depressive-like behavior was analyzed in the forced swim and tail suspension test. Activation of microglia was measured by flow cytometry. Pro-inflammatory M1 type (MHC-II, CD40, CD54, CD80, CD86, CCR7), anti-inflammatory M2 type (CD206, CD200R), and maturation markers (CD11c, CCR7) were tested, as well as the chemokine receptor CCR2. IFN-α led to a significant increase in depressive-like behavior and expression of the pro-inflammatory surface markers MHC-II, CD86, and CD54, indicating M1 polarization. Because IFN-α-treated mice showed great individual variance in the behavioral response to IFN-α, they were further divided into vulnerable and non-vulnerable subgroups. Only IFN-α vulnerable mice (characterized by their development of depressive-like behavior in response to IFN-α) showed an increased expression of MHC-II and CD86, while CD54 was similarly enhanced in both subgroups. Thus, IFN-α-induced activation of microglia was specifically associated with depressive-like behavior.