Depression and type 2 diabetes (T2D) are highly comorbid disorders that carry a large public health burden. However, there is a clear lack of knowledge of the neural pathological pathways underlying these illnesses. The present study aims to elucidate the molecular mechanisms by which a diet rich in fat can cause multiple complications in the brain, thereby affecting intracellular signaling and gene expression that underlie anxiety and depressive behaviors. The results show that a high-fat diet (HFD; ~16 weeks) causes anxiety and anhedonic behaviors. Importantly, the results also show that 4 months of HFD causes disruption of intracellular cascades involved in synaptic plasticity and insulin signaling/glucose homeostasis (ie, Akt, extracellular signal-regulated kinase (ERK), P70S6K), as well as increased corticosterone levels and activation of the innate immune system, including elevation of inflammatory cytokines (ie, IL-6, IL-1β, TNFα). Interestingly, the rapid acting antidepressant ketamine reverses the behavioral deficits caused by HFD and activates ERK and P70S6 kinase signaling in the prefrontal cortex. In addition, we found that pharmacological blockade of the innate immune inflammasome system by repeated administration of an inhibitor of the purinergic P2X7 receptor blocks the anxiety caused by HFD. Together these studies further elucidate the signaling pathways that underlie chronic HFD exposure on anxiety and depressive behaviors, and identify novel therapeutic targets for patients with metabolic disorder or T2D who suffer from anxiety and depression.