As is reported, the incidence and prevalence of depression are higher in women than in men, but the cause of this sex difference remains elusive. Although recent studies implicated that over-activated microglia played a crucial role in depression, whether hippocampal microglia associates with the sex difference of depressive-like behaviours is intriguing. In the present study, both male and female mice were subjected to chronic unpredictable mild stress (CUMS) for 4 weeks. Behavioural tests were performed to evaluate depressive-like phenotypes, while several microglia-related biomarkers and neurotrophic factor in hippocampi were detected to analyse sex difference. As a result, CUMS interfered with the body weight gain, sucrose preference and spontaneous activity in mice of both sexes. However, this effect tended to be more impressive in females. Generally, hippocampal microglia were activated regardless of sex, but the expressions of pro- and anti-inflammatory factors induced by CUMS were sex-specific. Chronic stress increased hippocampal iNOS and IL-1β mRNA levels only in male mice, while upregulated TNF-α mRNA just in females. Meanwhile, the expressions of hippocampal IL-10, Arg-1 and IL-1ra were all downregulated in CUMS females rather than males. In addition, though the ratios of the pro- vs. anti-inflammatory cytokines elevated after the stress paradigm in both sexes, we noticed more remarkable trends in female mice regarding TNF-α/IL-10 and iNOS/Arg-1. This discovery suggested that females were inclined to be more pro-inflammatory after stress. Afterwards, we observed that the expressions of BDNF and its receptor TrkB in hippocampus decreased greater in female compared to male mice when facing stress stimulations. Furthermore, the depressive-like behaviours were correlated to BDNF mRNA quantities in both sex mice, and there was also a sex-specific relationship between BDNF and hippocampal microglia-related inflammatory biomarkers. Collectively, our study speculated that the imbalance of microglial pro- and anti-inflammatory states as well as the BDNF-TrkB-dependent pathway in hippocampus is involved in the depressive-like behaviours. The “microglia-neuroinflammation-BDNF” interconnection may be a fundamental mechanism for sex differences in depression.