Depression is characterized by both neuroinflammation and neurodegeneration. Exosomes (Exo) have been shown to function as inhibitors of inflammation and promoters of neurogenesis. Omega-3 polyunsaturated fatty acids, such as eicosapentaenoic acid, can combat depression by increasing levels of docosapentaenoic acid (DPA). This study explored the effects of DPA on the therapeutic potential of Exo derived from human umbilical cord mesenchymal stem cells (hUCMSCs) in glia-induced neuroinflammation associated with depression. Exposure to chronic unpredictable mild stress (CUMS) over six weeks induced depression- and anxiety-like behaviors, while decreasing the levels of serotonin and dopamine. Molecularly, CUMS increased the concentrations of the microglial M1 markers Iba1, iNOS, and IL-1β, while reducing the M2 markers Arg1, CD206, and IL-10 in the prefrontal cortex and hippocampus. However, Exo therapy reversed these effects. Moreover, DPA treatment of Exo demonstrated superior efficacy in alleviating depressive behaviors, neurotransmitter deficiencies, and M1 microglial activation. In vitro, Exo suppressed LPS-stimulated BV2 cell viability and M1 microglial activation, while mitigating the SH-SY5Y cell apoptosis triggered by treatment with the conditioned medium from LPS-activated BV2 cells. Furthermore, administration of DPA enhanced this effect. Mechanically, DPA enhanced Exo function by upregulating miR125b-5p expression, thereby targeting the MyD88/TRAF6/NF-κB signaling pathway. In summary, Exo exhibited antidepressant effects by suppressing M1 microglial neuroinflammation, while DPA treatment provided a more potent therapeutic effect on depression-like changes through the upregulation of miR125b-5p targeting the MyD88/TRAF6/NF-κB pathway.