This study was conducted to explore the effect of hyperbaric oxygen (HBO) therapy combined with virtual reality (VR) training on oxidative stress indicators (OSIs) and inflammatory factors (IFs) in swimming athletes with depression. 88 swimming athletes suffering from depression were grouped into a control group (group C) and a research group (group R). The patients in group C were given HBO therapy, and the group R was given HBO therapy combined with VR training. The Physical Health Questionnaire (PHQ-9) and the Symptom Checklist (SCL-90) were adopted to assess the depression status of patients. The differences between the two groups of serum OSIs and IFs before and after the intervention were compared and analyzed. The results disclosed that the PHQ-9 score and SCL-90 score in group R were not different from those in group C before the intervention, but those in group R were greatly decreased in contrast to group C after the intervention ( P < 0.05 ). Before the intervention, there was no obvious difference in the OSIs and the IFs between the two groups. The levels of interleukin-1β (IL-1β), interleukin-6 (IL-6), interleukin-8 (IL-8), and tumor necrosis factor-α (TNF-α) in the two groups were decreased greatly after intervention, and those in the group R were much lower than those in group C ( P < 0.05 ). Compared with the preintervention, the levels of malondialdehyde (MDA) in both groups were reduced observably, and the levels of superoxide dismutase (SOD), nitric oxide (NO), and glutathione peroxidase (GSH-Px) were dramatically increased. The MDA in group R was much lower, while the SOD, NO, and GSH-Px were much higher in contrast to group C ( P < 0.05 ). It indicated that HBO combined with VR training had a good clinical effect for swimming athletes suffering from depression, and it could reduce the oxidative stress and inflammation, thereby helping patients recover quickly.