Depression is a prevalent chronic psychiatric disorder with a growing impact on global health. Current treatments often fail to achieve full remission, highlighting the need for alternative therapeutic strategies. Mesenchymal stem cells (MSCs) have attracted significant interest for their therapeutic potential in neuropsychiatric disorders, primarily due to their capacity to target neuroinflammation. This study aimed to investigate if extracellular vesicles derived from human umbilical MSCs (hucMSCs) promote behavioral beneficial actions in a rat model of chronic unpredictable mild stress (CUMS). We show that a single dose of hucMSCs or their derived EVs (hucMSC-EVs) via the tail vein alleviated depressive-like behavior in rats, reduced markers of neuroinflammation, reduced pro-inflammatory cytokines (IL-1β and TNF-α), and increased the number and dendritic complexity of DCX-positive cells in the dentate gyrus. Proteomic analysis of EVs revealed the presence of proteins involved in modulation of inflammatory processes and cell activation. Our study demonstrates EVs derived from hucMSCs can effectively mitigate depressive symptoms by modulating neuroinflammatory pathways and enhancing neurogenesis. These findings support further exploration of MSC-derived EVs as a novel therapeutic option for neuropsychiatric disorders.