Major depressive disorder has become one of the most serious neuropsychiatric disorders worldwide. However, currently available antidepressants used in clinical practice are ineffective for a substantial proportion of patients and always have side effects. Besides being a lipid-regulating agent, gemfibrozil is an agonist of peroxisome proliferator-activated receptor-α (PPAR-α). We investigated the antidepressant effects of gemfibrozil on C57BL/6J mice using the forced swim test (FST) and tail suspension test (TST), as well as the chronic unpredictable mild stress (CUMS) model of depression. The changes in brain-derived neurotrophic factor (BDNF) signaling cascade in the brain after CUMS and gemfibrozil treatment were further assessed. Pharmacological inhibitors and lentivirus-expressed short hairpin RNA (shRNA) were also used to clarify the antidepressant mechanisms of gemfibrozil. Gemfibrozil exhibited significant antidepressant actions in the FST and TST without affecting the locomotor activity of mice. Chronic gemfibrozil administration fully reversed CUMS-induced depressive-like behaviors in the FST, TST and sucrose preference test. Gemfibrozil treatment also restored CUMS-induced inhibition of the hippocampal BDNF signaling pathway. Blocking PPAR-α and BDNF but not the serotonergic system abolished the antidepressant effects of gemfibrozil on mice. Gemfibrozil produced antidepressant effects in mice by promoting the hippocampal BDNF system.