Polysaccharides from Polygonatum cyrtonema Hua (PSP) exert antioxidant, anti-inflammatory, and antidepressant effects. Production of reactive oxygen species (ROS) and activation of the calpain system and the NOD-like receptor protein 3 (NLRP3) inflammasome are closely related to the pathogenesis of depression. However, the relationships among those pathways and the protective effects of PSP have not been characterized. In this study, lipopolysaccharide (LPS) and chronic unpredictable mild stress- (CUMS-) induced depression models were used to evaluate the protective mechanisms of PSP against depression. ROS levels were measured in HT-22 cells using flow cytometry. Brain tissues were collected to determine the levels of oxidation-related indicators and inflammatory cytokines. The protein levels of calpain-1, calpain-2, calpastatin, phosphatase and Tensin Homolog deleted on Chromosome 10 (PTEN), suprachiasmatic nucleus circadian oscillatory protein (SCOP), nuclear factor-erythroid factor 2-related factor 2 (Nrf2), heme oxygenase-1 (HO-1), NLRP3, apoptosis-associated speck-like protein (ASC), caspase-1, cleaved-caspase-1, ionized calcium binding adapter molecule 1 (Iba1), phosphorylation of extracellular signal-regulated kinase (p-ERK), nuclear factor-kappa B (NF-κB), interleukin-1β (IL-1β), and glial fibrillary acidic protein (GFAP) were measured using western blotting or immunofluorescence. In cellular experiments, we showed that PSP attenuated LPS-induced production of ROS in HT-22 cells. In animal experiments, we found that LPS increased the expression of calpain-1, NLRP3, ASC, caspase-1, cleaved-caspase-1, Iba1, p-ERK, NF-κB, and GFAP and reduced the expression of calpastatin, PTEN, SCOP, and Nrf2. Administration of PSP reversed these changes. N-Acetyl-L-cysteine (NAC) administration also inhibited oxidative stress and activation of the calpain system and the NLRP3 inflammasome. Furthermore, PSP, calpeptin, MCC950 (a selective NLRP3 inflammasome inhibitor), and NAC reduced LPS-induced proinflammatory cytokine release. We also showed that PSP prevented CUMS-induced changes in the calpain system and the Nrf2 and NLRP3 signaling pathways and reduced depression-like behavior. These results indicate that PSP exerts antidepressant effects through regulation of the oxidative stress-calpain-1-NLRP3 signaling axis.