Prolonged or excessive stress may induce emotional and cognitive disturbances, and is a risk factor for mental illnesses. Using rodent chronic stress models of depression, roles of multiple lipid mediators related to inflammation have been revealed in chronic stress-induced emotional alterations. Prostaglandin (PG) E2, an arachidonic acid (AA)-derived lipid mediator, and its receptor subtype EP1 mediate depression-like behavior induced by repeated social defeat stress through attenuating prefrontal dopaminergic activity. Repeated social defeat stress activates microglia through innate immune receptors, and induces PGE2 synthesis through cyclooxygenase-1, a prostaglandin synthase enriched in microglia. PGD2, another AA-derived lipid mediator, has been implicated in depression induced by chronic stress, although either pro-depressive or anti-depressive actions have been reported. Chronic stress up-regulates hippocampal expression of 5-lipoxygenase, hence synthesis of cysteinyl leukotrienes, thereby inducing depression through their receptors. Consistent with beneficial effects of n-3 fatty acids in the diet of depressive patients, resolvins-a novel class of pro-resolving lipid mediators-in the brain attenuate neuroinflammation-associated depression. These findings in animal models of depression offer lipid mediators and related molecules as novel therapeutic targets for treating depression. To translate these findings into clinics, translational biomarkers to visualize lipid mediator profiles in depressive patients need to be established.