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Immune activation and inflammation are closely associated with the development of depression. Pioglitazone (PIO), a peroxisome proliferator-activated receptor gamma (PPAR-γ) agonist, has exhibited antidepressant-like effects in a couple of studies. However, the underlying mechanisms are far from being fully elucidated. The study aimed to investigate the effects of PIO on depression-like behaviors induced by lipopolysaccharide (LPS) and to explore the possible underlying mechanisms. The results showed that PIO pretreatment attenuated the depression-like behaviors in mice challenged with intracerebroventricular (i.c.v.) LPS administration. Moreover, Western blot analysis revealed the effects of PIO on inhibiting activation of the nuclear factor kappa B/interleukin 6/signal transducer and activator of transcription 3 (NF-κB/IL-6/STAT3) pathway, improving down-regulation of the cAMP response-element-binding protein/brain derived neurotrophic factor (CREB/BDNF) pathway, as well as regulating disturbed expression of proteins involved in central serotonergic neurotransmission following LPS administration. The beneficial effects of PIO, at both the behavioral and molecular level, were significantly inhibited by the PPAR-γ specific antagonist GW9662. In summary, our data reveals for the first time that the modulation of the NF-κB/IL-6/STAT3 and CREB/BDNF pathways, as well as the potential impact on central serotonergic neurotransmission, may be involved in the PPAR-γ-dependent effects of PIO on depression-like behaviors induced by LPS. Additionally, our findings may provide a novel therapeutic target for the treatment of depression-like behaviors in patients with inflammatory status.PIO attenuated depression-like behaviors induced by LPS.PIO inhibited LPS-induced activation of the NF-κB/IL-6/STAT3 pathway.PIO improved LPS-induced down-regulation of the CREB/BDNF pathway.PIO potentially impacted on serotonergic neurotransmission in LPS-treated mice.