Depression is one of the most fatal mental diseases, and there is currently a lack of efficient drugs for the treatment of depression. Emerging evidence has indicated oxidative stress as a key pathological feature of depression. We targeted reactive oxygen species (ROS) and synthesized CeO₂@BSA nanoclusters as a novel antidepression nanodrug via a convenient, green, and highly effective bovine serum albumin (BSA) incubation strategy. CeO₂@BSA has ultrasmall size (2 nm) with outstanding ROS scavenging and blood-brain barrier crossing capacity, rapid metabolism, and negligible adverse effects in vitro and in vivo. CeO₂@BSA administration alleviates depressive behaviors and depression-related pathological changes of the chronic restraint stress-induced depressive model, suggesting promising therapeutic effects of CeO₂@BSA for the treatment of depression. Our study proved the validity by directly using nanodrugs as antidepression drugs instead of using them as a nanocarrier, which greatly expands the application of nanomaterials in depression treatment.