Depression is a low-energy condition that has an impact on a person’s thoughts, actions, propensities, emotional state, and sense of wellbeing. According to the World Health Organization (WHO), 5% of adults are depressed. Individuals who are depressed are commonly prescribed antidepressants, and sometimes, individuals may have other psychiatric conditions that share overlapping symptoms with depression. These cooccurring conditions can complicate the diagnostic process, leading to a misdiagnosis and the prescription of antidepressants. Capsaicin (CAP) is a known antidepressant. Hence, this study aimed to assess the antidepressant activity of CAP nanoemulsion in nicotine (NC) withdrawal-induced depression in mice. Mice treated with CAP (3 mg/kg) showed reduced immobility in the forced swimming test (FST), tail-suspension test (TST), and open field test (OFT). During the OFT, the animals treated with nanoemulsion (CAP 3 mg/kg) spent less time in the corners than the control animals. Biochemical parameters, such as superoxide dismutase (SOD) and glutathione (GSH), were observed in reduced quantities in the NC withdrawal model (NWM), where they were slightly increased in the high-dose nanoemulsion (CAP 3 mg/kg) compared to the low-dose nanoemulsion (CAP 1 mg/kg). These results suggest that CAP caused antidepressant activity in the NWM via the nanoemulsion.