Depression is the most prevalent psychiatric disorder worldwide and remains incurable; however, there is little research on its prevention. The leading cause of depression is stress, and music has been hypothesized to alleviate stress. To examine the potential beneficial effects of music on stress and depression, we subjected mice to chronic unpredictable mild stress (CUMS) during the day and music at night. Strikingly, our results indicated that music completely prevented CUMS-induced depression and anxiety-like behaviors in mice, as assessed by the open field, tail suspension, sucrose preference, novelty suppressed feeding, and elevated plus maze tests. We found that listening to music restored serum corticosterone levels in CUMS mice, which may contribute to the beneficial effects of music on the mouse brain, including the restoration of BDNF and Bcl-2 levels. Furthermore, listening to music prevented CUMS-induced oxidative stress in the serum, prefrontal cortex, and hippocampus of mice. Moreover, the CUMS-induced inflammatory responses in the prefrontal cortex and hippocampus of mice were prevented by listening to music. Taken together, we have demonstrated for the first time in mice experiments that listening to music prevents stress-induced depression and anxiety-like behaviors in mice. Music may restore hypothalamus-pituitary-adrenal axis homeostasis, preventing oxidative stress, inflammation, and neurotrophic factor deficits, which had led to the observed phenotypes in CUMS mice.