Major depressive disorder (MDD) is a common, complex disease with poorly understood pathogenesis. Disruption of glucose metabolism is implicated in the pathogenesis of depression. AMP-activated protein kinase (AMPK) has been shown to regulate the activity of several kinases, including pAKT, p38MAPK, and mTOR, which are important signaling pathways in the treatment of depression. This study tested the hypothesis that rosiglitazone (RGZ) has an antidepressant impact on dexamethasone (DEXA)-induced depression by analyzing the function of the pAKT/p38MAPK/mTOR pathway and NGF through regulation of AMPK. MDD-like pathology was induced by subcutaneous administration of DEXA (20 mg/kg) for 21 days in all groups except in the normal control group, which received saline. To investigate the possible mechanism of RGZ, the protein expression of pAMPK, pAKT, p38MAPK, and 4EBP1 as well as the levels of hexokinase, pyruvate kinase, and NGF were assessed in prefrontal cortex and hippocampal samples. The activities of pAMPK and NGF increased after treatment with RGZ. The administration of RGZ also decreased the activity of mTOR as well as downregulating the downstream signaling pathways pAKT, p38MAPK, and 4EBP1. Here, we show that RGZ exerts a potent inhibitory effect on the pAKT/p38MAPK/mTOR/4EBP1 pathway and causes activation of NGF in brain cells. This study has provided sufficient evidence of the potential for RGZ to ameliorate DEXA-induced depression. A new insight has been introduced into the critical role of NGF activation in brain cells in depression. These results suggest that RGZ is a promising antidepressant for the treatment of MDD.