Interferon-α (IFN-α) administration induces major depression in a significant number of patients undergoing treatment for viral illnesses and other chronic diseases. Non-steroidal anti-inflammatory drugs (NSAIDs) are known to counteract a number of IFN-α induced side effects, including pro-inflammatory cytokine activation and stress hormone release. To investigate this possibility further, we sought to determine the effect of the Etoricoxib on behavioral and biochemical parameters in brain induced by acute IFN-α exposure. Depression was induced by INFα (16 × 105 IU/kg, body weight) for six consecutive days in outbred adult Swiss Albino female mice. The standard anti-depressant drug Amitriptyline (10 mg/kg, orally) and chosen NSAID, Etoricoxib (10 mg/kg, orally) were administered simultaneously and behavioral & biochemical responses were recorded. The study’s findings demonstrated that the selected drug had antidepressant properties comparable to Amitriptyline. Analysis of Open field test data indicated that administration of Etoricoxib induced significant differences in the frequencies of crossing indicated in the number of squares crossed and rearing indicated in the number of rearing instances when compared to the control and vehicle+ IFN-α group. Etoricoxib (ET), produced significant reduction (p<0.001) in plasma nitrite level compared to vehicle treated group, indicated a decrease in nitrosative stress. Moreover, plasma corticosterone level was significantly (p<0.001) declined in animals that received Etoricoxib (ET) and Amitriptyline (AMI). Brain MDA level was also significantly reduced with ET (p<0.05) and Amitriptyline (AMI) (p<0.001) when compared to the vehicle+IFN-α group. Conclusively, the selected drug significantly reduced the brain catalase activity also. These data offer support for a novel role of NSAIDs in modulating IFN-a-induced neurochemical alterations, and raise the possibility of the use of NSAIDs for the prevention of IFN-a-induced depression.