Clinical evidence indicated that eicosapentaenoic acid (EPA) was more effective than docosahexaenoic acid (DHA) in depression treatment. However, possible mechanisms remain unclear. Here, a chronic unpredictable mild stress (CUMS)-induced model of depression was used to compare EPA and DHA anti-depressant effects. After EPA or DHA feeding, depression-like behavior, brain n-3/n-6 PUFAs profile, serum corticosterone and cholesterol concentration, hippocampal neurotransmitters, microglial and astrocyte related function, as well as neuronal apoptosis and survival signaling pathways were studied. EPA was more effective than DHA to ameliorate CUMS-induced body weight loss, and depression-like behaviors, such as increasing sucrose preference, shortening immobility time and increasing locomotor activity. CUMS-induced corticosterone elevation was reversed by bother fatty acids, while increased cholesterol was only reduced by EPA supplement. Lower hippocampal noradrenaline and 5-hydroxytryptamine concentrations in CUMS rats were also reversed by both EPA and DHA supplement. However, even though CUMS-induced microglial activation and associated increased IL-1β were inhibited by both EPA and DHA supplement, increased IL-6 and TNF-α levels were only reduced by EPA. Compared to DHA, EPA could improve CUMS-induced suppressive astrocyte biomarkers and associated BDNF-TrkB signaling. Moreover, EPA was more effective than DHA to attenuate CUMS-induced higher hippocampal NGF, GDNF, NF-κB, p38, p75, and bax expressions, but reversed bcl-2 reduction. This study for the first time revealed the mechanisms by which EPA was more powerful than DHA in anti-inflammation, normalizing astrocyte and neurotrophin function and regulating NF-κB, p38 and apoptosis signaling. These findings reveal the different mechanisms of EPA and DHA in clinical depression treatment.