Depression is a serious psychiatric disorder affecting not only the monaminergic, glutamatergic, and GABAergic neurosystems, but also the immune system. Patients suffering from depression show disturbance in the immune parameters as well as increased susceptibility to infections. Zinc is well known as an anti-inflammatory agent, and its link with depression has been proved, zinc deficiency causing depression- and anxiety-like behavior with immune malfunction. It has been discovered that trace-element zinc acts as a neurotransmitter in the central nervous system via zinc receptor GPR39. In this study we investigated whether GPR39 knockout would cause depressive-like behavior as measured by the forced swim test, and whether these changes would coexist with immune malfunction. In GPR39 knockout mice versus a wild-type control we found: i) depressive-like behavior; ii) significantly reduced thymus weight; (iii) reduced cell viability of splenocytes; iv) reduced proliferative response of splenocytes; and v) increased IL-6 production of splenocytes after ConA stimulation and decreased IL-1b and IL-6 release after LPS stimulation. The results indicate depressive-like behavior in GPR39 KO animals with an immune response similar to that observed in depressive disorder. Here for the first time we show immunological changes under GPR39-deficient conditions.