Major depressive disorder (MDD) is a severe life‐threatening disorder with increasing prevalence. However, the mechanistic interplay between depression, neuroinflammation, and autophagy is yet to be demonstrated. This study investigated the effect of Oridonin on CUMS‐induced depression, neuroinflammation, and autophagy impairment. Male 4‐week‐old Sprague–Dawley rats were subjected to chronic unpredictable mild stress (CUMS), some of which were injected with Oridonin, fluoxetine (FLX), or their combination at different durations of CUMS. CUMS significantly increased the levels of cytokines (IL‐1β, IL‐18, and caspase‐1), reduced autophagy‐related protein levels (Beclin‐1, p62, Atg5, and LC3B), and caused microglia cells activation. Oridonin prevented and reversed the depressive‐like behavior. Furthermore, it has a stronger and longer‐lasting antidepressant effect than FLX. And the antidepressant effect of Oridonin in combination with fluoxetine was greater than that of high‐dose fluoxetine alone. In addition, Oridonin significantly normalized autophagy‐related protein levels, and reduced levels of cytokines by blocking the interaction between NLRP3 and NEK7. Similarly, Oridonin abolished levels of cytokines and reversed autophagy impairment in LPS‐activated BV2 cells. All these results supported our hypothesis that Oridonin possesses potent anti‐depressive action, which might be mediated via inhibition of neuroinflammation and autophagy impairment by blocking the interaction between NLRP3 and NEK7.