Challenging the innate immune machinery with the pro-inflammatory agent lipopolysaccharide (LPS) results in the development of a sickness syndrome characterized by numerous depressive-like behavioural and physiological manifestations, most of which overlap with the clinical symptoms of major depression. Although women are known to mount stronger pro-inflammatory responses during infections and being at higher risk to develop depressive disorders compared to men, the vast majority of experimental studies investigating the neurobiological effects of LPS administration have been conducted in males. Herein, we investigated the behavioural effects of LPS administration (0.83 mg/kg) in male and female C57BL/6J mice subjected to tests screening for alterations in locomotor activity (open field test), anorexia (food consumption), anhedonia (sucrose preference test), behavioural despair (forced swim test) and grooming behaviour (splash-test). We further mapped the brain's serotonergic and dopaminergic activity in five limbic brain regions implicated in the pathophysiology of major depression (i.e., prefrontal cortex, hippocampus, striatum, amygdala, and hypothalamus) at two critical time-points post-LPS treatment; at 6 h when depression of behavioural activity is maximal, and at 24 h when depressive-like symptoms develop independently of obvious locomotor performance impairments associated with acute LPS administration. Our findings indicate that the two sexes present with differential behavioural sensitivity to this immune stressor, as impairment of grooming behaviour in the splash test was more persistent in female mice, and anorexia lasted longer in their male counterparts. Notably, LPS affects the brain's serotonergic neurochemistry in a sex-specific manner, as it induced sustained serotonergic hyperactivity in females at 24 h post-LPS administration in all the brain regions examined. Moreover, the kinetics of dopaminergic activation appeared to be sex-differentiated upon LPS challenge. Given the higher prevalence of affective disorders in women, a focus of basic science on sex differences that underlie neuroinflammatory processes is imperative in order to elucidate the neuroimmunological substrate of major depression.