Mounting evidence suggests that eicosapentaenoic acid (EPA) is superior to docosahexaenoic acid (DHA) in the treatment of depression, but the underlying mechanisms remain elusive. In the present study, the effect of DHA and EPA on depressive-like behaviors was investigated in chronic sleep-deprived (CSD) mice. Following the administration of EPA or DHA, investigations were conducted on depression-like behavior, myelin damage, iron dyshomeostasis, oligodendrocyte-lipids peroxidation, and neuroinflammation. As anticipated, EPA was more effective than DHA in ameliorating CSD-induced depression by increasing center preference and immobility time and concurrently shortening immobility latency. Both DHA and EPA mitigated myelin damage with EPA demonstrating superior benefits characterized by higher levels of Olig2, MBP, and FTH, as well as decreased oligodendrocyte-lipid peroxidation. The inhibition of activated astrocytes and the associated LCN2-NLRP3 signaling pathway was observed following both EPA and DHA supplementation. However, the inhibitory effect was more pronounced with EPA. Additionally, EPA outperformed DHA in mitigating microglial activation and M1/M2 polarization imbalance. Overall, this present study provides valuable insights into the anti-depressive effects of DHA and EPA, highlighting their role in inhibiting oligodendrocyte-lipids peroxidation and the LCN2-NLRP3 axis and corroborating the superiority of EPA in mediating antidepressant effects.