Obesity is associated with a high prevalence of mood symptoms and cognitive dysfunctions that emerges as significant risk factors for important health complications such as cardiovascular diseases and type 2 diabetes. It is therefore important to identify the dynamic of development and the pathophysiological mechanisms underlying these neuropsychiatric symptoms. Obesity is also associated with peripheral low-grade inflammation and increased susceptibility to immune-mediated diseases. Excessive production of proinflammatory cytokines and the resulting activation of the brain tryptophan catabolizing enzyme indoleamine 2,3-dioxygenase (IDO) have been shown to promote neurobehavioral complications, particularly depression. In that context, questions arise about the impact of diet-induced obesity on the onset of neuropsychiatric alterations and the increased susceptibility to immune-mediated diseases displayed by obese patients, particularly through brain IDO activation. To answer these questions, we used C57Bl/6 mice exposed to standard diet or western diet (WD; consisting of palatable energy-dense food) since weaning and for 20 weeks. We then measured inflammatory and behavioral responses to a systemic immune challenge with lipopolysaccharide (LPS) in experimental conditions known to alter cognitive and emotional behaviors independently of any motor impairment. We first showed that in absence of LPS, 9 weeks of WD is sufficient to impair spatial recognition memory (in the Y-maze). On the other hand, 18 weeks of WD increased anxiety-like behavior (in the elevated plus-maze), but did not affect depressive-like behavior (in the tail-suspension and forced-swim tests). However, 20 weeks of WD altered LPS-induced depressive-like behavior compared to LPS-treated lean mice and exacerbated hippocampal and hypothalamic proinflammatory cytokine expression and brain IDO activation. Taken together, these results show that WD exposure alters cognition and anxiety in unstimulated conditions and enhances activation of neurobiological mechanisms underlying depression after immune stimulation. They suggest therefore that obesity, and possibly obesity-associated inflammatory priming, may represent a vulnerability state to immune-mediated depressive symptoms.