As far as the philosophy goes, for most successful interventions in health care we don't really know how they work.

Depression usually comes along with increased inflamation of the gut. Depression medicine that's intented to target the brain because of chemical imbalance, also hit's targets in the gut.

Does that mean I'm certain that those drugs fight depression by having positive effect on the gut? No, I'm not certain of that, but it's an open possibility.

"Explanations" in general aren't good at predicting outcomes for drugs. That way so many clinical trials fail. The only way that seems to work is to gather empiric evidence for treatments. That way you know whether the treatment works but not why it works.