The purpose of the present study was to investigate whether α-tocopherol exhibited neuro-protective effects in chronic unpredictable mild stress (CUMS) mice through the regulation of autophagy. Deficits in behavioural tests, including a sucrose preference test, open field test, forced swim test, and tail suspension test, were ameliorated following α-tocopherol administration. To study the potential mechanism, western blots were performed on both prefrontal cortex and hippocampus samples. Similar to the degree of autophagy, the activities of adenosine monophosphate-activated protein kinase (AMPK) and Unci-51 like autophagy activating kinase-1 (ULK1) were decreased after CUMS stimulation. In addition, we also found increased activity of the mammalian target of rapamycin (mTOR), which was significantly affected following administration of α-tocopherol, as well as its three downstream pathways. Taken together, our study found that α-tocopherol might potentially promote autophagy to induce anti-depressive responses in CUMS mice though the AMPK/mTOR pathway.