Exercise prevents depression through peroxisome proliferator-activated receptor-gamma coactivator 1α (PGC-1α)-mediated activation of a particular branch of the kynurenine pathway. From kynurenine (KYN), two independent metabolic pathways produce neurofunctionally different metabolites, mainly in somatic organs: neurotoxic intermediate metabolites via main pathway and neuroprotective end product, kynurenic acid (KYNA) via the branch. Elevated levels of KYN have been found in patients with depression. Herein, we investigated whether and how caffeine prevents depression, focusing on the kynurenine pathway. Mice exposed to chronic mild stress (CMS) exhibited depressive-like behaviours with an increase and decrease in plasma levels of pro-neurotoxic KYN and neuroprotective KYNA, respectively. However, caffeine rescued CMS-exposed mice from depressive-like behaviours and restored the plasma levels of KYN and KYNA. Concomitantly, caffeine induced a key enzyme converting KYN into KYNA, namely kynurenine aminotransferase-1 (KAT1), in murine skeletal muscle. Upon caffeine stimulation murine myotubes exhibited KAT1 induction and its upstream PGC-1α sustainment. Furthermore, a proteasome inhibitor, but not translational inhibitor, impeded caffeine sustainment of PGC-1α, suggesting that caffeine induced KAT1 by inhibiting proteasomal degradation of PGC-1α. Thus, caffeine protection against CMS-induced depression may be associated with sustainment of PGC-1α levels and the resultant KAT1 induction in skeletal muscle, and thereby consumption of pro-neurotoxic KYN.