Scope A growing number of studies have reported the effects of eicosapentaenoic acid (EPA) and terrestrial phospholipids on ameliorating mood disorders. Marine‐derived EPA‐enriched phospholipids (EPA‐PL) exhibit the structural characteristics of EPA and phospholipids. However, the effect of dietary EPA‐PL, and the differences between amphiphilic EPA‐PL and lyophobic EPA on mood disorders had not been studied. Methods and Results A comparative investigation to determine the effects of dietary EPA‐enriched ethyl ester (EPA‐EE) and EPA‐PL on improving depression‐ and anxiety‐like behavior in a mouse model is performed, induced by 4 week chronic unpredictable mild stress (CUMS) coupled with lipopolysaccharide (LPS) challenge. It is found that dietary 4 week 0.6% (w/w) EPA‐PL rescued depression‐ and anxiety‐like behavior to a greater extent than did EPA‐EE. Moreover, dietary EPA‐PL significantly reduced the immobility time by 56.6%, close to the normal level, in forced swimming test, which revealed a reversal of depression‐like behavior. Further studies revealed that dietary EPA‐PL regulated immunity, monoamine systems, and the hypothalamic–pituitary–adrenal (HPA) axis by multi‐target interactions, including inhibition of neuroinflammation and apoptosis. Conclusion EPA‐PL exerted superior effects to EPA‐EE in alleviating depression‐ and anxiety‐like behavior. The data suggest potential novel candidate or targeted dietary patterns to prevent and treat mood disorder. Comparatively investigated the effects of dietary EPA‐EE and EPA‐PL on improving depression‐ and anxiety‐like behavior in a mouse model, induced by chronic unpredictable mild stress (CUMS) couple with LPS challenge. The results reveal that EPA‐PL exerts superior effects to EPA‐EE in alleviating depression‐ and anxiety‐like behavior by regulating immunity and neuroinflammation, monoamine systems, and the hypothalamic–pituitary–adrenal (HPA) axis.