Our study aimed to investigate whether Agaricus brasiliensis water extract (AWE) possesses antidepressant activity. Depression as a result of chronic unpredictable mild stress (CUMS) was established in mice. The AWE group was administered 3.0 g/kg of AWE. The tail suspension test (TST) was conducted 1 h after the last administration. Then after fasting for 12 h, the mice were sacrificed by euthanasia and the brain and organs (liver, spleen, kidney, and thymus) were collected immediately. Biochemical indexes, including serotonin (5-HT), norepinephrine (NE), and dopamine (DA), were analyzed with biochemical reagent kits. In addition, 2,2-diphenyl-1-picrylhydrazyl free radical scavenging activity, inhibition of hydroxyl radical activity, and total antioxidant capacity were used to evaluate the antioxidant activity of AWE. The organ index analysis indicated that AWE had no adverse effect on mice at feeding time. The results suggested that AWE administration could significantly shorten the immobility time of mice in the TST. Particularly, the levels of 5-HT and NE appeared to increase significantly (P < 0.05) after AWE administration. At the same time, in vitro antioxidant experiments also revealed that AWE displayed better antioxidant activity. Collectively, these results suggest that AWE possesses good antidepressant activity, and these effects may be mediated by enhancing monoamine neurotransmitter content in the brain or antioxidant capacity to improve depression.