Objective: To develop a lactoferrin-modified sodium alginate nanogel loaded with saikosaponin A (SA-Lf-NG@SAA) and evaluate its potential antidepressant-like effects following intranasal administration. Methods: SA-Lf-NG@SAA nanogels were prepared and optimized using single-factor experiments combined with response surface methodology. The optimized formulation was characterized in terms of particle size, zeta potential, stability, morphology, drug-loading performance, and in vitro release behavior. Male C57BL/6J mice were used to establish a chronic unpredictable mild stress (CUMS) model to evaluate the antidepressant-like effects of SA-Lf-NG@SAA after intranasal administration. Histopathological changes in the hippocampus and striatum were observed by hematoxylin and eosin staining. Western blotting was used to detect the expression of OLFM-1, OLFM-3, and OLFM-4 in olfactory bulb tissues, and immunofluorescence staining was performed to further examine their expression in the hippocampus and striatum. Results: The optimized SA-Lf-NG@SAA nanogels had an average particle size of approximately 85 nm and a zeta potential ranging from 0 mV to −10 mV, and they maintained their basic particle characteristics during a 14-day short-term physical stability study after dispersion in PBS. In vitro release analysis showed that SA-Lf-NG@SAA exhibited a distinct initial lag phase, followed by sustained drug release, with a cumulative release rate of approximately 75% at 72 h. Kinetic fitting using zero-order, first-order, Higuchi, and Korsmeyer–Peppas models showed that the post-lag release profile was best described by the Higuchi model, suggesting a prolonged release pattern under the present in vitro conditions. In CUMS mice, intranasal administration of SA-Lf-NG@SAA effectively improved depression-like behaviors, alleviated pathological damage in the hippocampus and striatum, and enhanced neuronal morphology. Western blotting showed that SA-Lf-NG@SAA increased the expression of OLFM-1, OLFM-3, and OLFM-4 in olfactory bulb tissues. Immunofluorescence staining further confirmed that the expression of these proteins was significantly enhanced in the hippocampus and striatum, especially in the high-dose SA-Lf-NG@SAA group. Conclusions: SA-Lf-NG@SAA nanogels were successfully developed as a potential nanogel-based formulation intranasal administration of saikosaponin A, showing favorable physicochemical properties, short-term stability, and prolonged release behavior. Intranasal administration of SA-Lf-NG@SAA alleviated depression-like behaviors in CUMS mice and improved histopathological alterations in the hippocampus and striatum. The antidepressant-like effects of SA-Lf-NG@SAA may be associated with the regulation of OLFM-family protein expression in depression-related brain regions. These findings suggest that SA-Lf-NG@SAA has potential as a nanogel-based intranasal formulation for the delivery of active components from traditional Chinese medicine in depression therapy. However, the specific contribution of lactoferrin modification requires further validation using unmodified SA-NG@SAA as a control.