Extracellular adenosine 5′-triphosphate (ATP) in the brain is suggested to be an etiological factor of major depressive disorder (MDD). It has been assumed that stress-released ATP stimulates P2X7 receptors (Rs) at the microglia, thereby causing neuroinflammation; however, other central nervous system (CNS) cell types such as astrocytes also possess P2X7Rs. In order to elucidate the possible involvement of the MDD-relevant hippocampal astrocytes in the development of a depressive-like state, we used various behavioral tests (tail suspension test [TST], forced swim test [FST], restraint stress, inescapable foot shock, unpredictable chronic mild stress [UCMS]), as well as fluorescence immunohistochemistry, and patch-clamp electrophysiology in wild-type (WT) and genetically manipulated rodents. The TST and FST resulted in learned helplessness manifested as a prolongation of the immobility time, while inescapable foot shock caused lower sucrose consumption as a sign of anhedonia. We confirmed the participation of P2X7Rs in the development of the depressive-like behaviors in all forms of acute (TST, FST, foot shock) and chronic stress (UCMS) in the rodent models used. Further, pharmacological agonists and antagonists acted in a different manner in rats and mice due to their diverse potencies at the respective receptor orthologs. In hippocampal slices of mice and rats, only foot shock increased the current responses to locally applied dibenzoyl-ATP (Bz-ATP) in CA1 astrocytes; in contrast, TST and restraint depressed these responses. Following stressful stimuli, immunohistochemistry demonstrated an increased co-localization of P2X7Rs with a microglial marker, but no change in co-localization with an astroglial marker. Pharmacological damage to the microglia and astroglia has proven the significance of the microglia for mediating all types of depression-like behavioral reactions, while the astroglia participated only in reactions induced by strong stressors, such as foot shock. Because, in addition to acute stressors, their chronic counterparts induce a depressive-like state in rodents via P2X7R activation, we suggest that our data may have relevance for the etiology of MDD in humans.