IFN-α is widely used for the treatment of chronic viral hepatitis and malignancies. However, systemic IFN-α treatment causes severe neuropsychiatric complications in humans, including depression, anxiety, and cognitive impairments. We have previously reported that the fusion protein formed by IFN-α and apolipoprotein A-I (IA) circulates bound to high-density lipoproteins (HDLs) and exhibits liver targeting, increased half-life, enhanced immunostimulatory activity, and reduced cytotoxicity. As the transport of HDLs across the blood-brain barrier is a highly complex and regulated process, in this study, we examine the effects of IA on the brain. Determination of IFN-α in brain and serum after hydrodynamic administration of different doses of a plasmid encoding IFN-α or IA showed that IA penetrated into the brain by a saturable transport mechanism. Thus, at high serum levels of the transgenes, the induction of IFN-sensitive genes and the number of phospho-STAT1(+) cell nuclei in the brain were substantially higher with IFN-α than with IA. This was associated with attenuation of neurodepression in mice given IA, as manifested by shorter immobility time in the tail suspension test. However, when given low doses of rIFN-α or the same antiviral units of HDLs containing IA, the induction of IFN-stimulated genes in the brain was significantly greater with the latter. In conclusion, IA crosses the blood-brain barrier not by diffusion, as is the case of IFN-α, but by a facilitated saturable transport mechanism. Thus, linkage to apolipoprotein A-I may serve to modulate the effects of IFN-α on the CNS.