Bearing in mind that pain and major depressive disorder (MDD) often share biological pathways, this condition is classified as depression-pain syndrome. Mounting evidence suggests that oxidative stress is implicated in the pathophysiology of this syndrome. The development of effective pharmacological interventions for the depression-pain syndrome is of particular importance as clinical treatments for this comorbidity have shown limited efficacy. Therefore, the present study aimed to evaluate whether the 3,5-dimethyl-1-phenyl-4-(phenylselanyl)-1H-pyrazole (SePy) was able to reverse the depression-pain syndrome induced by intracerebroventricular (i.c.v) streptozotocin (STZ) in mice and the possible modulation of oxidative and nitrergic pathways in its effect. The treatment with SePy (1 and 10 mg/kg) administered intragastrically (i.g.) reversed the increased immobility time in the tail suspension test, decreased grooming time in the splash test, latency time to nociceptive response in the hot plate test, and the response frequency of Von Frey hair (VFH) stimulation induced by STZ (0.2 mg/4 μl/per mouse). Additionally, SePy (10 mg/kg, i.g.) reversed STZ-induced alterations in the levels of reactive oxygen species, nitric oxide, and lipid peroxidation and the superoxide dismutase and catalase activities in the prefrontal cortices (PFC) and hippocampi (HC) of mice. Treatment with SePy (10 mg/kg, i.g.) also reversed the STZ-induced increased expression of inducible nitric oxide synthase (iNOS) and glycogen synthase kinase 3 beta (GSK3β) in the PFC and HC. An additional molecular docking investigation found that SePy binds to the active site of iNOS and GSK3β. Altogether, these results indicate that the antidepressant-like effect of SePy is accompanied by decreased hyperalgesia and mechanical allodynia, which were associated with its antioxidant effect.