This study was designed to explore the clinical belief that “set and setting” play an important role in favorable responses to psychedelic agents such as ketamine (KET). In fact, there is evidence in animals that the antidepressant effect of this drug may involve drug–environment interactions in which a context paired with its effects acquires the ability to influence behavior. Therefore, it was investigated in male Sprague–Dawley rats whether exposure to a context paired with the effects of KET, or with the effects of the common antidepressant medications bupropion (BUP) and escitalopram (ESC), could produce an antidepressant-like conditioned response. In Experiment 1, subjects received saline in a vehicle-paired context (denoted as CS−), and 0, 10, or 20 mg/kg KET, 10 mg/kg ESC, or 10 mg/kg BUP in a drug-paired context (denoted as CS+), on 10 alternating days (5 pairings with each context). The rats were then exposed drug free to the CS− and CS+ prior to the assessment of immobility in the forced-swimming test. Experiment 2 assessed approach/avoidance responses induced by the CS− and CS+ in a place-conditioning test. It was found that exposure to the KET CS+ significantly reduced immobility without affecting general locomotor activity in comparison to the SAL CS+ and the BUP CS+, but not the ESC CS+. Moreover, no group differences were observed in the place-conditioning test, indicating that the anti-immobility effect of the KET CS+ was likely not influenced by a conditioned incentive or aversive state. Together, these data suggest that a KET-paired context can elicit a conditioned antidepressant-like response, which may be a mechanism involved in its sustained antidepressant clinical action.