The ethanolic extracts from the rhizome of Curcuma longa L. (turmeric), possesses a wide variety of biological activities related to the treatment and prevention of affective disorders. To study their antidepressant effects, the impacts of chronic mild stress (CMS) and of the subsequent administration of ethanolic extracts of C. longa were investigated. Male Sprague–Dawley rats subjected to the CMS procedure demonstrated increased serum interleukin-6 and tumor necrosis factor-alpha levels, as well as a reduction of natural killer cell activity in splenocytes. In addition, CMS-treated rats exhibited levated corticotropin-releasing factor in serum and medulla oblongata and cortisol levels in serum, with no significant change in serum adrenocorticotropin hormone levels. The preferential behavior of reduction in sucrose intake was also observed. These findings indicate that the alterations in immune and hypothalamic-pituitary-adrenal (HPA) axis systems could participate in the behavioral response to the CMS procedure in animals. Administration of ethanolic extracts of C. longa largely reversed the above effects. These results demonstrate the antidepressant-like activity of ethanolic extracts of C. longa in the rat CMS model of depression, at least in part by improving the abnormalities in immune and the HPA axis functions.