Converging evidence supports the involvement of pro-inflammatory pathways and the gut microbiome in major depressive disorder (MDD). Pre-clinical and clinical studies suggest that decreasing pro-inflammatory signaling may provide clinical benefit in MDD. In this study, we used the chronic unpredictable stress (CUS) paradigm to assess whether mice lacking the pro-inflammatory caspase 1, interferon gamma-receptor, and nitric oxide synthase (Casp1, Ifngr, Nos2)-/- present altered depressive- and anxiety-like behaviour at baseline and in response to CUS. In comparison to wild-type (wt) mice, (Casp1, Ifngr, Nos2)-/- mice displayed decreased depressive- and anxiety-like behaviour, and increased hedonic-like behaviour and locomotor activity at baseline, and resistance to developing anhedonic-like behaviour and a heightened emotional state following stress. Plasma levels of ACTH and CORT did not differ between the triple knockout and wt mice following stress. The faecal microbiome of (Casp1, Ifngr, Nos2)-/- mice differed from that of wt mice at baseline and displayed reduced changes in response to chronic stress. Our results demonstrate that simultaneous deficit in multiple pro-inflammatory pathways has antidepressant-like effects at baseline, and confers resilience to stress-induced anhedonic-like behaviour. Moreover, accompanying changes in the gut microbiome composition suggest that CASP1, IFNGR and NOS2 play a role in maintaining microbiome homeostasis.