Major depressive disorder (MDD) is an emotional condition that interferes with sufferers' work and daily life. Numerous studies have found that miRNAs play a significant role in the development of MDD and can be utilized as a biomarker for its diagnosis and therapy. However, there have been few studies on nerve-immunity interaction treatment for the brains of MMD patients.The work is performed on microarray data. We analyzed the differences of miRNAs (GSE58105, GSE81152, GSE152267, and GSE182194) and mRNA (GSE19738, GSE32280, GSE44593, GSE53987, and GSE98793) in MDD and healthy samples from GEO datasets. FunRich was used to predict the transcription factors and target genes of the miRNAs, and TF and GO enrichment analyses were performed. Then, by comparing the differential expression of the anticipated target genes and five mRNAs, intersecting mRNAs were discovered. The intersecting genes were submitted to GO and KEGG analyses to determine their functions. These intersecting potential genes and pathways that linked to MDD in neurological and immunological aspects have been identified for future investigation.We discovered five hub genes: KCND2, MYT1L, GJA1, CHL1, and SNAP25, which were all up-regulated genes. However, in MMD, the equivalent miRNAs, hsa-miR-206 and hsa-miR-338-3p, were both down-regulated. These miRNAs can activate or inhibit the T cell receptor signal pathway, JAK-STAT and other signal pathways, govern immune-inflammatory response, neuronal remodeling, and mediate the onset and development of MMD Conclusions: The results of a thorough bioinformatics investigation of miRNAs and mRNAs in MDD showed that miR-338-3P and miR-206 might be effective biomarkers and possible therapeutic targets for the treatment of MDD via nerve-immunity interaction.