Depression is a common psychiatric disorder with heavy economic and social burdens. Searching new agents with better antidepressant-like activities is of great significance for depression therapy. Tauroursodeoxycholic acid (TUDCA), a clinical drug for gallstone treatment, possesses neuroprotective effects in different brain disorders. However, whether it affects depression remains unclear. We addressed this issue by evaluating the effect of TUDCA on depression induced by chronic unpredictable stress (CUS). Results showed that TUDCA treatment at 200 but not 100 mg/kg prevented the 5 weeks of CUS-induced increases in the immobile time of C57BL6/J mice in the experiments of forced swimming test and tail suspension test as well as the CUS-induced decrease in sucrose intake and crossing numbers in the open-field test, and did not enhance the antidepressant-like effect of fluoxetine. Attenuation of neuroinflammation may be involved in the antidepressant-like effect of TUDCA, as TUDCA treatment (200 mg/kg) normalized the levels of tumor necrosis factor-α and interleukin-6 in both hippocampus and prefrontal cortex. The increases in inflammasome and microglial activation markers, including interleukin-β, nod-like receptor protein 3, and Iba-1, in CUS-treated mice were reduced by TUDCA treatment (200 mg/kg). TUDCA treatment (200 mg/kg) also normalized the changes in markers reflecting the oxidative-nitrosative and endoplasmic reticulum (ER) stress induced by CUS, such as nitric oxide, reduced glutathione, malondialdehyde, glucose-regulated protein 78, and C/EBP homologous protein. These results revealed that TUDCA improved the CUS-induced depression-like behaviors likely through attenuation of neuroinflammation, oxido-nitrosative, and ER stress.