Depression is a disturbing psychiatric disease with unsatisfied therapy. Not all patients are sensitive to anti-depressants currently in use, side-effects are unavoidable during therapy, and the cases with effectiveness are always accompanied with delayed onset of clinical efficacy. Delivering brain-derived neurotrophic factor (BDNF) to brain seems to be a promising therapy. However, a better approach to delivery is still rudimentary. The purpose of our present work is to look for a rapid-onset and long-lasting therapeutic strategy for major depressive disorder (MDD) by effectively delivering BDNF to brain. BDNF, fused with cell-penetrating peptides (TAT and HA2), was packaged in adenovirus associated virus (AAV) to construct the BDNF-HA2TAT/AAV for intranasally delivering BDNF to central nervous system (CNS) via nose-brain pathway. Intranasal administration of BDNF-HA2TAT/AAV to normal mice displayed anti-depression effect in forced swimming test when the delivery lasted relatively longer. The AAV applied to mice subjected to chronic mild stress (CMS) through intranasal administration for 10 days also alleviated depression-like behaviors. Western-blotting analysis revealed that BDNF-HA2TAT/AAV nasal administration enhanced hippocampal BDNF content. These results indicate intranasal administration of constructed BDNF-HA2TAT/AAV exerts anti-depression effect in CMS mice by increasing hippocampal BDNF, suggesting that this strategy holds a promising therapeutic potential for MDD.