Accumulating evidence suggests that the pathophysiology of depression might be associated with neuroinflammation, which could be attenuated by pharmacological treatment for depression. Omega-3 polyunsaturated fatty acids (PUFAs) are anti-inflammatory and exert antidepressant effects. The aim of this study was to identify the molecular mechanisms through which docosahexaenoic acid (DHA), the main omega-3 PUFA in the brain, modulates oxidative reactions and inflammatory cytokine production in microglial and neuronal cells. The results of this study showed that DHA reduced expressions of tumor necrosis factor-α, interleukin-6, nitric oxide synthase, and cyclo-oxygenase-2, induced by interferon-γ, and induced upregulation of heme oxygenase-1 (HO-1) in BV-2 microglia. The inhibitory effect of DHA on nitric oxide production was abolished by HO-1 inhibitor zinc protoporphyrin IX. In addition, DHA caused AKT and ERK activation in a time-dependent manner, and the DHA-induced HO-1 upregulation could be attenuated by PI-3 kinase/AKT and MEK/ERK inhibitors. DHA also increased IKKα/β phosphorylation, IκBα phosphorylation, and IκBα degradation, whereas both nuclear factor-κB and IκB protease inhibitors could inhibit DHA-induced HO-1 expressions. The other major n-3 PUFA, eicosapentaenoic acid, showed similar effects of DHA on inflammation and HO-1 in repeated key experiments. In connecting with inflammation hypothesis of depression and clinical studies supporting the antidepressant effects of omega-3 PUFAs, this study provides a novel implication of the antidepressant mechanisms of DHA.