Background Adansonia digitata L. (Malvaceae) is used locally in the management of depressive illnesses, and its antidepressant-like effect has been previously reported. The present study was aimed at determining the effect of the methanol extract of the stem bark of A. digitata (MEAD) on chronic unpredictable mild stress (CUMS) and the possible mechanism responsible for its antidepressant activity. Methods Acute toxicity of MEAD was determined using the OECD guideline 420. The CUMS model was used to induce depression, and behavioral tests such as sucrose preference test (SPT), open field test (OFT), novel-object recognition test (NORT), and tail suspension test (TST) were carried out in mice. The concentrations of plasma cortisol and brain-derived neurotrophic factor (BDNF) protein in the brain were assessed using enzyme-linked immunosorbent assay kits. The levels of superoxide dismutase (SOD) and malondialdehyde (MDA) were assessed using colorimetric methods. Results The LD50 was established to be ≥5000 mg/kg. On CUMS-induced depression, MEAD significantly (p ≤ 0.05) and dose dependently reversed the weight loss, increased the line-crossing activity in OFT, increased sucrose consumption in SPT, decreased the duration of immobility in TST, and increased the novelty exploration time in NORT. The MEAD extract significantly (p ≤ 0.05) and dose dependently increased the levels of BDNF, decreased the levels of plasma cortisol, increased the levels of total SOD activity, and decreased the levels of plasma MDA. Conclusion Our findings show that MEAD ameliorates CUMS-induced depressive-like behavior and its effect is possibly mediated via the neuroendocrine, neurotrophic, and oxidative stress pathways.