Epidemiological studies have linked fine dust pollution to depression, yet the underlying mechanisms remain unclear. Oxidative stress and endoplasmic reticulum (ER) stress are known contributors to depression, but their induction by particulate matter (PM), particularly PM2.5, in animal models has been limited. This study aimed to establish a rat model of PM2.5-induced depression-like behaviors and elucidate the underlying molecular mechanisms. Adult male Sprague–Dawley rats received daily intranasal PM2.5 for four weeks. Behavioral assessments, including the open field test (OFT), forced swim test (FST), and light-dark box (LDB) test, were conducted weekly. PM2.5-exposed rats displayed depressive-like behaviors, particularly in the FST, reflecting decreased motivation and learned helplessness. Molecular analyses indicated a specific increase in ER stress markers (CHOP, eIF2α, GRP78, and P16) and NOX4 in the hypothalamus, while other brain regions (striatum, cortex, and hippocampus) were not as pronounced. Additionally, PM2.5 exposure reduced tyrosine hydroxylase (TH) levels in the hypothalamus, suggesting impaired dopamine synthesis. These findings indicate that PM2.5 induces depressive-like behaviors via hypothalamic ER stress and oxidative stress pathways, leading to dopaminergic dysfunction. Targeting oxidative and ER stress within the hypothalamus may offer new therapeutic strategies for treating depression associated with environmental pollutants.