Depressive disorders are complex, multifactorial disorders that have been traditionally attributed exclusively to neuronal abnormalities. However, recent studies have increased our understanding of the contribution of glial cells—and particularly of oligodendroglia—to the pathogenesis and treatment outcome of depression and stress‐related disorders. This review scrutinizes recent studies focusing on the neurosupportive functions exerted by myelin and oligodendrocyte lineage cells and their disruption in depression and stress‐related disorders. It also illustrates how myelin and oligodendroglia respond to antidepressants and non‐pharmacological treatment alternatives and proposes oligodendroglia‐directed approaches as novel therapeutic options for depressive disorders.