Major depressive disorder (MDD) is a very common, severe disease with a lifetime prevalence of ~ 10%. The pathogenesis of MDD is unknown and, unfortunately, therapy is often insufficient. We have previously reported that ceramide levels are increased in the blood plasma of patients with MDD and in mice with experimental MDD. Here, we demonstrate that ceramide-enriched exosomes in the blood plasma are increased in mice with stress-induced MDD. Genetic studies reveal that neutral sphingomyelinase 2 is required for the formation of ceramide-enriched exosomes in the blood plasma. Accordingly, induced deficiency of neutral sphingomyelinase 2 prevented mice from the development of stress-induced MDD. Intravenous injection of microparticles from mice with MDD or injection of ceramide-loaded exosomes induced MDD-like behavior in untreated mice, which was abrogated by ex vivo pre-incubation of purified exosomes with anti-ceramide antibodies or ceramidase. Mechanistically, injection of exosomes from mice with MDD or injection of ex vivo ceramide-loaded microparticles inhibited phospholipase D (PLD) in endothelial cells in vitro and in the hippocampus in vivo and thereby decreased phosphatidic acid in the hippocampus, which has been previously shown to mediate MDD by plasma ceramide. In summary, our data indicate that ceramide-enriched exosomes are released by neutral sphingomyelinase 2 into the blood plasma upon stress and mediate stress-induced MDD.