Preclinical studies conducted to date suggest that depression could be elicited by the elevated expression of proinflammatory molecules: these play a key role in the mediation of neurochemical, neuroendocrine and behavioral changes. Thus, this study investigates the effect of chronic mild stress (CMS) and administration of venlafaxine (SSRI) on the expression and methylation status of new target inflammatory genes: TGFA, TGFB, IRF1, PTGS2 and IKBKB, in peripheral blood mononuclear cells (PMBCs) and in selected brain structures of rats. Adult male Wistar rats were subjected to the CMS and further divided into matched subgroups to receive vehicle or venlafaxine. TaqMan gene expression assay and methylation-sensitive high-resolution melting (MS-HRM) were used to evaluate the expression of the genes and the methylation status of their promoters, respectively. Our results indicate that both CMS and chronic treatment with venlafaxine were associated with changes in expression of the studied genes and their promoter methylation status in PMBCs and the brain. Moreover, the effect of antidepressant administration clearly differed between brain structures. Summarizing, our results confirm at least a partial association between TGFA, TGFB, IRF1, PTGS2 and IKBKB and depressive disorders.