Depression is a primary public health problem. However, current antidepressants work slowly, and together with side effects. Herein, the alginate nanogels were constructed to load albiflorin (albiflorin nanogels), which further formed albiflorin nanogel loaded self-assembled thermosensitive hydrogel system (albiflorin-NGSTH) and were used to improve its antidepressant effects. The nanogel showed a nano-scaled particle size and stronger antioxidant activity. Rheological studies showed that albiflorin-NGSTH had a sol-gel transition at approximately 28 °C. Albiflorin-NGSTH quickly entered the brain by intranasal delivery, and had a continuously release for albiflorin. Preliminary results of mice behavioral despair tests found that albiflorin-NGSTH had no effects on independent exploratory behavior and anxiety of the mice, and significantly decreased immobility duration of the mice in tail suspension test (TST). Moreover, the intranasally administrated albiflorin-NGSTH at a low dose improved depressive behavior, decreased levels of proinflammatory cytokines, and repaired neuronal damage of chronic unpredictable mild stress (CUMS) rats, which indicated an excellent potential for depression therapy. The treatment of albiflorin-NGSTH on depressive disorder was achieved by regulating signal pathway related to depression. Therefore, albiflorin-NGSTH has an excellent potential for clinical application in intranasal drug delivery systems.