Major depressive disorder (MDD) is a leading cause of disease burden worldwide with low therapeutic efficacy. The blood-brain barrier (BBB) is essential to maintain brain homeostasis and regulate drug delivery. Chronic social stress, MDD’s main environmental risk factor, is associated with neurovascular pathology in mice including loss of BBB integrity in mood-regulating brain regions in a sex-specific manner, which is also observed in individuals with MDD. Pericytes ensheathe endothelial cells and modulate BBB functions under physiological and pathological conditions, but contribution of these mural cells in stress responses or mood disorders pathogenesis is unknown. Here, we report profound transcriptomic, morphological and functional alterations in pericytes in the prefrontal cortex (PFC) following stress exposure in female mice and women with MDD. Endothelial cell-to-pericyte crosstalk via PDGFB:PDGFRB signaling is critical for BBB dynamics and proper brain function. Targeted ablation of pericytes in the PFC induced anxiety- and depression-like behaviours in mice, while viral-mediated increase in pericyte-endothelial communication promoted stress coping behaviors. RNA-seq of human brain endothelial cells and pericytes exposed to MDD serum revealed changes in extracellular matrix-related genes and cell-cell communication. PDGF-BB serum level correlated with depressive symptoms and diagnosis. Altogether, our findings shed light on a novel mechanism underlying PFC dysfunction in MDD along with a blood biomarker. Our work involves pericytes in the pathophysiology of mood disorders, highlights new therapeutic targets and provides tools to manipulate these cells applicable for vascular, neurodegenerative, or inflammatory diseases all characterized by high rates of depression.