Accumulating data advocates that inflammatory mediators may contribute to depression in experimental models as well as in humans. Nonetheless, whether anti‐inflammatory treatments can prevent depression still remains controversial. To substantiate our hypothesis, we used an interferon‐α‐2b model of depression using Sprague Dawley rats. Interferon‐α‐2b is a cytokine which activates immune response and also produces depression. The animals were treated for 21 days with aspirin (10 mg/kg, per oral (p.o.)) dexamethasone (1 mg/kg p.o.) and amitriptyline (10 mg/kg p.o.). Amitriptyline was used as reference standard, and given concurrently with aspirin and dexamethasone to examine any synergy. Interferon‐α‐2b (6000 IU/kg, intraperitoneal (i.p.)) was administered in all the above groups daily, except normal control. Tests performed included sucrose preference test, behavioural tests like forced swim test, elevated plus maze, light dark box and locomotor activity along with biochemical estimations like serum cortisol and brain neurotransmitters. The rats in the group treated with Interferon‐α‐2b produced depressive behaviour in rats. We found that animals treated with aspirin decreased immobility time in forced swim test, increased sucrose preference, decreased serum cortisol and increased brain serotonin levels signifying antidepressant action. In contrast, there was no effect in groups treated with dexamethasone. Our results suggest that aspirin can serve as a potential antidepressant both individually and as adjuvant agent in the treatment of depression. Inhibition of the cyclo‐oxygenase‐2 levels and prostaglandins concentration or any other potential physiological and biochemical mechanisms may be involved in antidepressant effect.