The objective of this study was to assess the antidepressant efficacy of a novel imipramine–magnesium (IMI–Mg) complex in comparison to the administration of imipramine and magnesium individually. The study utilized adult male albino Swiss mice. Behavioral assessments were conducted using the forced swim test (FST) and the tail suspension test (TST). A locomotor activity test was conducted to exclude false positive results in the FST and TST. Moreover, the study assessed oxidative stress levels in the mice subjected to acute environmental stress by measuring glutathione peroxidase, glutathione reductase, total oxidant status, and total antioxidant status. The administration of the IMI–Mg complex at doses of 5, 10, and 20 mg/kg resulted in a reduction in immobility time in both behavioral tests, thereby indicating the antidepressant-like potential of the tested complex, which was similar to the one observed after the administration of these two compounds as separate drug forms. The efficacy of the novel IMI–Mg complex represents a significant advancement and provides a foundation for future research. This innovative agent has the potential to enhance the safety profile of the therapy, streamline the treatment protocol, improve patient satisfaction, and promote adherence to the therapeutic regimen.