This study aims to investigate the mechanism of capsaicin (CAP) to improve the feeding behavior of chronic unpredictable mild stress (CUMS) depressed rats. Forty rats were randomly divided into normal group and model group using random number table method, among which ten rats were in normal group and 30 rats were in model group. The depression model was prepared by CUMS method, and the 30 rats with successful modeling were randomly divided into the model group, capsaicin group (0.05 mg/kg), and fluoxetine group (10 mg/kg), with 10 rats in each group, and all of them received intraperitoneal injections for four weeks. Neuropeptide Y (NPY), agouti-related protein (AgRP), cannabinoids receptor 1 (CB1R) were detected in the arcuate nucleus (ARC) of the hypothalamus by Western blot. Immunofluorescence was used to detect the NPY/CB1R and AgRP/CB1R co-expression, and real-time fluorescence quantitative PCR was used to detect the mRNA expression of γ-aminobutyric acid A receptor (GABAAR) and γ-aminobutyric acid B receptor (GABABR). The results showed that compared with the normal group, the protein expression of NPY/AgRP/CB1R were all reduced in the model group (P < 0.01, P < 0.001), the fluorescence co-localization of NPY and AgRP with CB1R was reduced, respectively (P < 0.05, P < 0.001), and GABAAR mRNA expression was reduced in the model group, and the GABABR mRNA expression was elevated (P < 0.05 P < 0.01); compared with the model group, NPY/AgRP/CB1R protein expression was elevated in the administered group (P < 0.01, P < 0.001), NPY and AgRP fluorescence co-localization intensity with CB1R, respectively, was elevated (P < 0.01, P < 0.001), GABAAR mRNA expression was elevated (P < 0.05), and GABABR mRNA expression decreased (P < 0.05, P < 0.01). The above results suggest that capsaicin can improve the depressive behavior and feeding behavior of CUMS depressed rats, and its mechanism may play a regulatory role by up-regulating the expression of NPY/AgRP/CB1R/GABAAR and down-regulating the expression of GABABR receptor in the ARC brain region of CUMS depressed rats.