Siraitia grosvenorii (SG) is an edible medicinal plant found mainly in Guangxi, China, and Mogroside V (MGV) is the main component of SG extract. Previous research has shown that SG and MGV exert anti-inflammatory, antioxidative and neuroprotective effects. However, it is not clear whether MGV has anti-depression-like effect. In this study, we evaluated the neuroprotective effects and anti-depression-like effect of MGV both in vitro and in vivo. By performing in vitro tests, we evaluated the protective effects of MGV on PC12 cells with corticosterone-induced injury. In vivo tests, we used the chronic unpredictable mild stress (CUMS) depression model. Fluoxetine (10 mg/kg/day) and MGV (10 or 30 mg/kg/day) were administered by gavage for 21 days, and the open field test (OFT), novelty suppressed feeding test (NSFT), Tail suspension test (TST), and forced Swimming test (FST) were used to evaluate the depressive-like behaviors. In addition, we investigated the role of proinflammatory cytokines (IL-1β, IL-6, and TNF-α) and anti-inflammatory cytokine (IL-4) in the hippocampal and cortex tissues. The levels of Superoxide dismutase (SOD), malondialdehyde (MDA), and glutathione peroxidase (GSH-PX) in hippocampal and cortex tissues were also measured. Pathological changes in the hippocampal dentate gyrus and cortex regions were detected by immunofluorescence and Western blotting was used to measure the protein expression of BDNF, TrkB, TNF-α, and AKT. The results showed that MGV had a protective effect on PC12 cells with corticosterone-induced incurred injury. In addition, MGV treatment relieved the depressive symptoms and significantly reduced inflammatory levels (IL-1β, IL-6, and TNF-α). MGV also significantly reduced oxidative stress damage and reduced the levels of apoptosis in hippocampal nerve cells. These results suggested that the anti-depressive effect of MGV may occur through the inhibition of inflammatory and oxidative stress pathways and the BDNF/TrkB/AKT pathway. These findings provide a new concept for the identification of new anti-depressive strategies.