Pro-inflammatory cytokines such as tumour necrosis factor-alpha (TNF-α) have repeatedly been shown to play a pivotal role in the pathophysiology of depression. Therefore, we tested the possible antidepressant-like effect of the anti-TNF-α drug etanercept in an animal model of chronic mild stress. Male Wistar rats were assigned to a non-restrained and a restrained protocol for 5 weeks. From beginning of the third week the animals were treated either with Ringer solution daily or with etanercept twice a week (0.3 mg/kg, i.p.) instead of Ringer solution (n = 12 each). As reference, imipramine (10 mg/kg, i.p.) was administered in a third restraint group daily. Naïve non-treated non-restrained rats served as healthy controls (n = 12). In the forced swim test (FST) depression-like behaviour induced by restraint was recorded as enhanced immobile time and reduced climbing activity of the vehicle-treated group in comparison to the naïve and the non-restrained vehicle treated group. The treatment with etanercept significantly reduced the depression-like effects resulting in reduced immobile time in the FST and intensified climbing behaviour (p < 0.01, p < 0.05), both similar to the antidepressive-like effect of imipramine (p < 0.01 both). The repeated restraint induced a loss of body weight gain in the Ringer-treated group which was not reversed, neither by imipramine nor by etanercept. The antidepressant effects of blocking TNF-α using etanercept may be caused by enhancement of serotonergic or noradrenergic neurotransmission or normalization of stress hormone secretion which has to be substantiated in further studies.