Depression, a common and high-morbidity mental illness, can cause severe physical and psychiatric disorder. Recently, elevated levels of reactive oxygen and nitrogen species (RONS) have been recognized as a potential pathogenesis of depression. Unfortunately, available therapies provide limited outcomes in treating RONS-related depression symptoms. In addition, the low blood-brain barrier (BBB) penetration efficiency of some drugs is another major barrier to depression treatment. This study developed cerium oxide-modified Pd (Pd-CeO2) nanosheets with outstanding antioxidant activities for depression therapy. Under physiological conditions, Pd-CeO2 exhibited significant O2˙- and H2O2 clearance through their superoxide dismutase (SOD) and catalase (CAT) activities. Meanwhile, Pd-CeO2 also displayed the ability to scavenge ˙OH and reactive nitrogen radicals (RNS). What's more, when incorporated with biocompatible red blood cell (RBC) membranes, Pd-CeO2@RBC could overcome the BBB and protect brain tissues from oxidative damage caused by RONS. As a result, Pd-CeO2@RBC therapy reduced the proliferation of microglia and astrocytes and alleviated neuroinflammation and depression-like behaviors. This research not only provides a novel strategy for the effective treatment of depression, but also paves the way for new therapeutic options of nanozymes in neurological disorders.