Background: The olfactory bulbectomised (OBX) rat model is a chronic model of depression in which behavioural and neuroimmunoendocrine changes are reversed only after chronic antidepressant treatment. The cyclooxygenase 2 (COX-2) inhibitor celecoxib has been shown to improve the depressive symptoms in patients with major depression. Methods: The association between blood and brain immunological and behavioural changes in chronic treatment with COX-2 inhibitor was explored in the OBX rats and their sham-operated controls. Results: The OBX group showed significantly higher locomotor activity than the other groups in the first 5 min in the open field. In the home cage emergence test, the OBX group showed a significantly shorter latency period compared to the sham group (z = –3.192, p = 0.001) but there was no difference between the other three groups. In the hypothalamus, the OBX group had a significantly higher interleukin 1β (IL-1β) concentration than the OBX + celecoxib group (z = –1.89, p = 0.05) as well as a significantly higher IL-10 concentration (z = –1.995, p = 0.046). In the prefrontal cortex, the OBX group showed significantly higher concentrations of tumour necrosis factor α (z = –2.205, p = 0.028) and IL-1β (z = –3.361, p = 0.001) than the OBX + celecoxib group, but a significantly lower concentration of IL-10 (p = –3.361, p = 0.001) than the OBX + celecoxib group. Conclusions: The results of this study supported the potential therapeutic role of the COX-2 inhibitor celecoxib. It is possible that the behavioural changes following the chronic administration of celecoxib to the OBX rats are associated with an attenuation of the increase in the pro-inflammatory cytokines in the brain.