Although algae have been the focal point of biofuel research, studies on their biological activities have been limited. In recent years, however, the importance of algae as sources of functional ingredients has been recognized due to their health beneficial effects. In this study, we evaluated the antidepressant-like activities of ethanol extract of Aurantiochytrium sp. (EEA) in the forced swimming test (FST)-induced depression in ICR mice. Imipramine, a commercially available tricyclic antidepressant drug, was used as positive control. Animals were administered EEA orally for 14 consecutive days and were subjected to the locomotor activity testing. Additionally, changes in gene expression in mice brain were assessed by real-time PCR and microarray assays to understand the molecular mechanisms underlying the effect of EEA. We found that the immobility time in FST was significantly reduced in the EEA-treated mice compared to that of in the control mice. Microarray and real-time PCR results revealed that EEA treatment induced changes in several genes in mice brain associated with pro-inflammation and dopaminergic, cholinergic, glutamatergic, and serotonergic synapses. It has previously been reported that several cytokines, such as IL-6 and TNF-α, which mediate neuroinflammation, are also responsible for indirectly altering brain neurotransmitter levels in neuropsychiatric disorders. Therefore, the regulation of the expression of pro-inflammatory genes in EEA-administered mice brain is considered to contribute to the enhancement of neurotransmitter systems-related gene expression in our study. Moreover, our in vitro study suggested that squalene, a component produced by Aurantiochytrium, was one of the active substances in EEA. In conclusion, our study provides the first evidence that Aurantiochytrium sp. can reduce neuroinflammation that may contribute to the modulation of the neurotransmitter systems, which could underlie its antistress and antidepressant effects.