Depression is one of the major side effects of interferon alpha (IFN-α) treatment, but the molecular mechanism underlying IFN-α-induced depression remains unclear. Several studies have shown that the serotonin receptors 5-HTR1b and 5-HTR4 play key roles in the anti-depression effects associated with p11 (S100A10). We investigated the effects of IFN-α on the regulation of p11, 5-HTR1b and 5-HTR4 in mice and human neuroblastoma cells (SH-sy5y). We found that intraperitoneal injection with IFN-α in Balb/c mice resulted in an increased immobility in FST and TST, and potently lowered the protein levels of p11, 5-HTR1b and 5-HTR4 in the hippocampus or cingulate gyrus. IFN-α significantly down-regulated the protein levels of p11, 5-HTR1b and 5-HTR4 in SH-sy5y cells, in a time- and dose-dependent manner. Our study revealed that over-expression of p11 could prevent the IFN-α-induced down-regulation of 5-HTR1b and 5-HTR4. The results indicated that IFN-α treatment resulted in p11 down-regulation, which subsequently decreased 5-HTR1b and 5-HTR4 in vitro or in vivo. Our findings suggested that p11 might be a potential regulator on 5-HTR1b and 5-HTR4 as well as a predictor of or a therapeutic target for IFN-α-induced depression.