Nimesulide is an inhibitor of COX-2 with antioxidant and anti-inflammatory effects. However, few studies have explored the antidepressant mechanism of nimesulide. Here, we evaluated the therapeutic effects of nimesulide on CUMS rats. iTRAQ technology was used to identify the differentially expressed protein in the hippocampus between CUMS and nimesulide-treated rats to identify the possible molecular mechanism of its effects. We found that nimesulide had positive effects on depressive-like behaviors and inflammatory factors in depressed rats. Using proteomics technologies, we screened 16 differentially expressed proteins in CUMS-exposed rats after nimesulide treatment, 5 of which were related to inflammation. Overall, these results show that nimesulide might mediate its antidepressant effect on depressed rats through the inhibition of oxidative stress inflammatory response.