The phenomenon of individual variability in susceptibility/resilience to stress and depression, in which the hippocampus plays a pivotal role, is attracting increasing attention. We investigated the potential role of hippocampal cyclooxygenase-2 (COX-2), which regulates plasticity, neuroimmune function, and stress responses that are all linked to this risk dichotomy. We used a four-week-long chronic mild stress (CMS) paradigm, in which mice could be stratified according to their susceptibility/resilience to anhedonia, a key feature of depression, to investigate hippocampal expression of COX-2, a marker of microglial activation Iba-1, and the proliferation marker Ki67. Rat exposure, social defeat, restraints, and tail suspension were used as stressors. We compared the effects of treatment with either the selective COX-2 inhibitor celecoxib (30 mg/kg/day) or citalopram (15 mg/kg/day). For the celecoxib and vehicle-treated mice, the Porsolt test was used. Anhedonic (susceptible) but not non-anhedonic (resilient) animals exhibited elevated COX-2 mRNA levels, increased numbers of COX-2 and Iba-1-positive cells in the dentate gyrus and the CA1 area, and decreased numbers of Ki67-positive cells in the subgranular zone of the hippocampus. Drug treatment decreased the percentage of anhedonic mice, normalized swimming activity, reduced behavioral despair, and improved conditioned fear memory. Hippocampal over-expression of COX-2 is associated with susceptibility to stress-induced anhedonia, and its pharmacological inhibition with celecoxib has antidepressant effects that are similar in size to those of citalopram.