Stress-induced depression and anxiety (DA) are closely connected to gastrointestinal inflammation and dysbiosis, which can suppress brain-derived neurotrophic factor (BDNF) in the brain. Herein, we isolated the BDNF expression-inducing probiotics Lactobacillus casei HY2782 and Bifidobacterium lactis HY8002 in lipopolysaccharide-stimulated SH-SY5Y cells. Then, we investigated the effects of HY2782, HY8002, anti-inflammatory L-theanine, and their supplement (PfS, probiotics-fermented L-theanine-containing supplement) on DA in mice exposed to restraint stress (RS) or the fecal microbiota of patients with inflammatory bowel disease and depression (FMd). Oral administration of HY2782, HY8002, or L-theanine alleviated RS-induced DA-like behaviors. They also decreased RS-induced hippocampal interleukin (IL)-1β and IL-6 levels, as well as NF-κB-positive cell numbers, blood corticosterone level, and colonic IL-1β and IL-6 levels and NF-κB-positive cell numbers. L-theanine more potently suppressed DA-like behaviors and inflammation-related marker levels than probiotics. However, these probiotics more potently increased RS-suppressed hippocampal BDNF level and BDNF+NeuN+ cell numbers than L-theanine. Furthermore, HY2782 and HY8002 suppressed RS-increased Proteobacteria and Verrucomicrobia populations in gut microbiota. In particular, they increased Lachnospiraceae and Lactobacillacease populations, which are closely positively associated with hippocampal BDNF expression, and suppressed Sutterellaceae, Helicobacteriaceae, Akkermansiaceae, and Enterobacteriaceae populations, which are closely positively associated with hippocampal IL-1β expression. HY2782 and HY8002 potently alleviated FMd-induced DA-like behaviors and increased FMd-suppressed BDNF, serotonin levels, and BDNF-positive neuronal cell numbers in the brain. They alleviated blood corticosterone level and colonic IL-1β α and IL-6 levels. However, L-theanine weakly, but not significantly, alleviated FMd-induced DA-like behaviors and gut inflammation. BDNF expression-inducing probiotic (HY2782, HY8002, Streptococcus thermophilus, and Lactobacillus acidophilus)-fermented and anti-inflammatory L-theanine-containing supplement PfS alleviated DA-like behaviors, inflammation-related biomarker levels, and gut dysbiosis more than probiotics or L-theanine. Based on these findings, a combination of BDNF expression-inducing probiotics with anti-inflammatory L-theanine may additively or synergistically alleviate DA and gut dysbiosis by regulating gut microbiota-mediated inflammation and BDNF expression, thereby being beneficial for DA.