Depression is a common neuropsychiatric disorder characterized by persistent depressed mood and causes serious socioeconomic burden worldwide. Hyperactivity of the hypothalamic-pituitary-adrenal (HPA) axis, deficiency of monoamine transmitters, neuroinflammation and abnormalities of the gut flora are strongly associated with the onset of depression. The cyclic AMP (cAMP)/protein kinase A (PKA) cascade, a major cross-species cellular signaling pathway, is supposed as important player and regulator of depression onset by controlling synaptic plasticity, cytokinesis, transcriptional regulation and HPA axis. In the central nervous system, the cAMP-PKA cascade can dynamically shape neural circuits by enhancing synaptic plasticity, and affect K⁺ channels by phosphorylating Kir4.1, thereby regulating neuronal excitation. The reduction of cAMP-PKA cascade affects neuronal excitation as well as synaptic plasticity, ultimately leading to pathological outcome of depression, while activation of cAMP-PKA cascade would provide a rapid antidepressant effect. In this review, we proposed to reconsider the function of cAMP-PKA cascade, especially in the rapid antidepressant effect. Local activation or indirect activation of PKA through adjusting anchor proteins would provide new idea for acute treatment of depression.