In recent years, some studies have suggested that the activation of inflammatory system plays a role in the occurrence of depression. Tumor necrosis factor-α (TNF-α), as one of the preinflammatory cytokines, has been reported to be involved in the occurrence of various diseases including depression. Infliximab, an antagonist of TNF-α, is usually used to treat some autoimmune diseases such as Crohn's disease and can perhaps be used to treat other diseases. In this study, the antidepressant effect and a possible mechanism of infliximab were investigated by studying the depression-like behavior and expression of TNF-α, indoleamine 2, 3-dioxygenase (IDO), and 3-hydroxyl amino acid oxygenase (HAAO) from the cortex and hippocampus in rat exposed to chronic unpredicted stress. Forty male Sprague-Dawley rats were divided into a control group (CG), an infliximab-treated control group, a model group (MG), and an infliximab-treated model group (IFXM). Infliximab (5 mg/kg once week) was administered to the infliximab-treated control group and IFXM rats by an intraperitoneal injection, whereas an equivalent volume of vehicle was administered to CG and MG rats. Rat behaviors and the expression of TNF-α, IDO, and HAAO in the cortex and hippocampus were determined. It was found that a significant relief in depression-like behaviors was observed with a downregulation of TNF-α, IDO, and HAAO expression in the IFXM rats compared with MG rats. The results show the antidepressant effect of infliximab and suggest that its mechanism is partly related to inhibition of IDO-HAAO pathway activation mediated by TNF-α in rat brain.