This was my first thought too. The article doesn't mention this at all.

It sounds like they just pulled people off the street, tested for the protein, and assumed causality. Wouldn't they have to had tested the same subset of people over time to make their claim?

There is a lot of research showing that psychological stress (and social defeat in particular) causes microglial over-activation and neuroinflammation, which then results in the symptoms of anxiety and depression.

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5660717/