Patients with polycystic ovary syndrome (PCOS) can suffer from psychological disorders, among which depression is the most commonly diagnosed. However, the pathogenesis is still unclear. The aims of the present study were to investigate the behaviors of dehydroepiandrosterone (DHEA)-induced PCOS mice, the effects of high-fat diet (HFD) on mouse behaviors, and the underlying mechanism. Prepubertal C57BL/6 mice (25 days of age) were divided into four groups and injected daily with the vehicle sesame oil or DHEA on the normal chow or a 60% HFD for 20 consecutive days. Depression-like behavior of the mice was examined using a forced swim test, tail suspension test, and open field test. Thereafter, the animals were killed and four brain regions were collected. The brain levels of monoamines and their metabolites, including norepinephrine, serotonin, 5-hydroxy-3-indolacetic acid, dopamine, and 3,4-hydroxyphenylacetic acid, were analyzed by HPLC. Our data show that DHEA-treated mice exhibited depression-like behavior according to the results from behavioral assessment. The brain contents of monoamines and/or their metabolites decreased in DHEA-treated mice compared with controls. HFD did not seem to markedly affect the behavioral responses, the brain monoamines, or their metabolites in the mice. These findings suggest that DHEA treatment induced depression-like behavior in PCOS mice, possibly through down-regulation of brain monoamines and/or their metabolites, which implies the contribution of hyperandrogenism to the psychological symptoms of women with PCOS.