The role of pro-inflammatory cytokines in psychiatric disorders has been the focus of great research attention in recent years. Paradoxically, the same is not true for anti-inflammatory cytokines. In the present study, we assessed the behavioral profile of animals with altered expression of the anti-inflammatory cytokine IL-10. We performed a battery of tests to assess anxiety, depressive-like and cognitive behaviors in mice overexpressing IL-10 (PMT10) and IL-10(-/-) animals; in the later mice we also tested the behavioral effect of IL-10 administration. In the forced-swimming test, IL-10(-/-) females displayed increased depressive-like behavior; importantly, this phenotype was reverted by the injection of IL-10. Moreover, mice overexpressing IL-10 presented a decreased depressive-like behavior. Despite the presence of a similar trend, male animals did not reach significant differences in depressive-like behavior. Assessment in the open-field showed that the absence of IL-10 decreased the percentage of time spent in the center of the arena in both male and female mice, while male animals overexpressing IL-10 revealed an opposite behavior. For both sexes, imbalance in IL-10 levels did not affect spatial reference memory. In conclusion, variations in IL-10 expression are associated with an altered depressive-like behavior, but do not influence cognitive performance. Interestingly, IL-10 imbalance produced more profound behavioral changes in females than in male animals. This is in accordance with clinical data demonstrating an increased susceptibility of women to mood disorders, suggesting an interplay between anti-inflammatory cytokines and sexual steroids.