Major Depressive Disorder (MDD) is a prevalent psychiatric condition that affects millions of people worldwide and is a leading cause of disability. Chronic stress is a key factor in the development of MDD, leading to hyperactivation of the hypothalamic-pituitary-adrenal (HPA) axis and elevated glucocorticoid levels, which in turn affect brain function and structure. Astrocytes, crucial for maintaining central nervous system (CNS) homeostasis, play a significant role in the pathophysiology of MDD. Dysregulation of glucocorticoid signaling in astrocytes contributes to changes in astrocyte survival, reactivity, metabolism, neurotrophic support, gliotransmitter release, and neuroinflammation, exacerbating depressive symptoms. This review explains the necessity for exploring the effects of glucocorticoid in astrocytes and subsequent MDD progression. Firstly, we briefly explore the glucocorticoid signaling and the multifaceted function of astrocytes. Then, this study discusses the mechanisms by which chronic stress and glucocorticoid exposure induce astrocyte-mediated neurodegenerative changes including inflammation, metabolic dysfunction, and neurotoxic mechanisms, highlighting the importance of targeting glucocorticoid-related signaling of astrocytes in developing therapeutic interventions for MDD. Understanding these mechanisms could lead to the development of more effective treatments aimed at restoring astrocyte function and alleviating MDD.