Circular RNAs (circRNAs), highly expressed in the central nervous system, are involved in various regulatory processes and implicated in some pathophysiology. However, the potential role of circRNAs in psychiatric diseases, particularly major depressive disorder (MDD), remains largely unknown. Here, we demonstrated that circular RNA DYM (circDYM) levels were significantly decreased both in the peripheral blood of patients with MDD and in the two depressive-like mouse models: the chronic unpredictable stress (CUS) and lipopolysaccharide (LPS) models. Restoration of circDYM expression significantly attenuated depressive-like behavior and inhibited microglial activation induced by CUS or LPS treatment. Further examination indicated that circDYM functions as an endogenous microRNA-9 (miR-9) sponge to inhibit miR-9 activity, which results in a downstream increase of target-HECT domain E3 ubiquitin protein ligase 1 (HECTD1) expression, an increase of HSP90 ubiquitination, and a consequent decrease of microglial activation. Taken together, the results of our study demonstrate the involvement of circDYM and its coupling mechanism in depression, providing translational evidence that circDYM may be a novel therapeutic target for depression.