Depression is a common mental disorder that has been linked to a decrease in the expression of serotonin and/or the serotonin transporter in the brain. Antidepressants that target the monoaminergic system are widely used in the clinical setting. Peroxisome proliferator‐activated receptor δ (PPAR δ) overexpression or activation is thought to improve depression‐like behaviours in rodents. The present study was designed to characterize the changes in PPARδ expression in the hippocampus in rats with stress‐induced depression. We used an unpredictable chronic mild stress (CMS) model in rats to study the role of PPARδ in the hippocampus. Behaviour was evaluated via a forced swim test (FST), a tail suspension test (TST), and a sucrose preference test (SPT). Then, the changes in PPARδ expression and other signals were determined using Western blots. We found that PPARδ expression in the hippocampus was markedly reduced in rats with depression. Moreover, the expression of the serotonin transporter was also significantly decreased. Treatment with a PPARδ agonist enhanced the expression of PPARδ and the serotonin transporter in the hippocampus of rats with stress‐induced depression. Additionally, treatment with a PPARδ agonist increased the expression of the serotonin transporter in cultured hippocampal (H19‐7) cells, and this action was ablated in the absence of PPARδ, which was attenuated with shRNA. Taken together, we found that PPARδ plays an important role in the regulation of serotonin transporter expression and that chronic stress may lower PPARδ expression in the brain via apoptosis and may attenuate serotonin transporter expression, thus inducing depression in rats.