Pro‐inflammatory cytokines have been proposed to be associated with the pathogenesis of depression. Consistent with this notion, several clinical observations have suggested the antidepressant efficacy of TNF‐α inhibitors in patients with chronic inflammatory diseases. In this study, we evaluated the antidepressant and anxiolytic effects of chronic TNF‐α inhibitor (infliximab, 5 mg/kg, i.p., weekly) administration in the chronic mild stress (CMS) model of depression. Rats were divided into three groups: saline‐control (no stress), saline‐CMS, and infliximab‐CMS. Rats in the latter two groups were exposed to CMS for 8 weeks. Saline (former two groups) or infliximab was injected weekly during this period. After CMS, total locomotor activity, anxiety‐like behaviour and depression‐like behaviours were evaluated using automated locomotor activity cage, elevated plus maze (EPM), and sucrose preference (SPT) and forced swimming (FS) tests, respectively. As expected, the saline‐CMS group exhibited higher depression‐like behaviours in FS and SPT tests compared with the saline‐control group. There were no differences between these two groups in terms of the anxiety‐like behaviour or total locomotor activity. Infliximab reduced the depression‐like behaviour of CMS rats compared with saline‐CMS group, and anxiety‐like behaviour of CMS rats compared with saline‐CMS and saline‐control groups. Our findings suggest that chronic and systemic TNF‐α inhibition reduced depression and anxiety‐like behaviour in the CMS model of depression in rats.