Major depression is a heterogeneous psychiatric disorder whose pathophysiology is not clearly established yet. Some studies have shown that oxidative stress and mitochondrial dysfunction are involved in the development of major depression. Since most depressed patients do not achieve complete remission of symptoms, new therapeutic alternatives are needed and omega-3 has been highlighted in this scenario. Therefore, we have investigated the effects of omega-3 on behavioral and biochemical parameters in rats submitted to chronic mild stress (CMS). Male Wistar rats were submitted to CMS for 40 days. After the CMS period, we administered a 500 mg/kg dose of omega-3 orally, once a day, for 7 days. The animals submitted to CMS presented anhedonia, had no significant weight gain, presented increased levels of lipid peroxidation and protein carbonylation, and inhibition of complex I and IV activities of the mitochondrial respiratory chain. The treatment with omega-3 did not reverse anhedonia; however, it reversed weight change, increased lipid peroxidation and protein carbonylation levels, and partially reversed the inhibition of mitochondrial respiratory chain complexes. The findings support studies that state that major depression is associated with mitochondrial dysfunction and oxidative stress, and that omega-3 supplementation could reverse some of these changes, probably due to its antioxidant properties.