Major depressive disorder (MDD) is a highly prevalent and debilitating mental illness with substantial impairments in quality of life and functioning. However, the pathophysiology of major depression remains poorly understood. Combining the brain and body should provide a comprehensive understanding of the etiology of MDD. As the largest internal organ of the human body, the liver has an important function, yet no proteomic study has assessed liver protein expression in a preclinical model of depression. Using the chronic unpredictable mild stress (CUMS) mouse model of depression, differential protein expression between CUMS and control (CON) mice was examined in the liver proteome using isobaric tag for relative and absolute quantitation (iTRAQ) coupled with tandem mass spectrometry. More than 4000 proteins were identified and 66 most significantly differentiated proteins were used for further bioinformatic analysis. According to the ingenuity pathway analysis (IPA), we found that proteins related to the inflammation response, immune regulation, lipid metabolism and NFκB signaling network were altered by CUMS. Moreover, four proteins closely associated with these processes, hemopexin, haptoglobin, cytochrome P450 2A4 (CYP2A4) and bile salt sulfotransferase 1 (SULT2A1), were validated by western blotting. In conclusion, we report, for the first time, the liver protein expression profile in the CUMS mouse model of depression. Our findings provide novel insight (liver–brain axis) into the multifaceted mechanisms of major depressive disorder.