<b><i>Introduction:</i></b> Major depressive disorder is considered a global public health problem. Inflammatory processes are likely involved in its pathophysiology, but the underlying mechanisms have remained uncertain.<b><i></i></b>Here, we used the model of systemic lipopolysaccharide (LPS) injection to test the hypothesis that depressive-like behaviors occur along with changes in the levels of cytokines and brain-derived neurotrophic factor (BDNF) in the hippocampus (HC), prefrontal cortex (PFC), and hypothalamus (HT), and can be prevented by dexamethasone administration. <b><i>Methods:</i></b> Adult C57Bl/6 male mice were first isolated for 10 days, and thereafter received an injection of dexamethasone (6 mg/kg, intraperitoneal [i.p.]), saline followed by LPS (0.83 mg/kg, i.p.), or saline. After 6 h, animals were subjected to the forced-swim test (FST) and open-field tests. Immediately after the behavioral tests, they were euthanized and their brains were collected for the biochemical analyses. <b><i>Results:</i></b> LPS increased the immobility time and reduced the distance travelled in the FST and open-field test, respectively. Dexamethasone increased the immobility time in saline-treated mice but reduced this behavior in the LPS group. LPS increased the levels of tumor necrosis factor (TNF)-α, interleukin (IL)-6 and interferon (IFN)-γ in most of the regions evaluated. Dexamethasone prevented LPS-induced IL-6 in the HC, PFC, and HT. Interestingly, dexamethasone increased IL-4 and IL-10 levels in both the LPS- and saline-treated groups. Although dexamethasone reduced BDNF in saline-treated mice, it prevented LPS-induced reduction in this neurotrophic factor. <b><i>Conclusion:</i></b> In summary, dexamethasone decreased proinflammatory and increased anti-inflammatory levels of cytokines and prevented a reduction in BDNF levels induced by the inflammatory stimulus. Thus, the attenuation of depressive-like behavior induced by dexamethasone may be related to the effects on these parameters.