Depression and anxiety are widespread mental illnesses that often occur comorbidly. γ-Aminobutyric acid (GABA) is a vital inhibitory neurotransmitter, and patients with depression usually have reduced GABA levels in the brain. Venlafaxine (VLF) is a widely used antidepressant and anxiolytic. However, VLF showed modest efficacy in clinic with the number needed to treat (NNT) exceeding 15. The aim of this research was to investigate whether GABA can improve the therapeutic benefits of VLF against depression and anxiety disorders. The effects of VLF, GABA, and their combination on depressive- and anxiolytic-like behavior were evaluated in mice which were treated with acute stress and chronic unpredictable mild stress (CUMS). A total of 87 mice were used, including 32 in acute stress experiments (4 groups, n = 8/group) and 55 in CUMS experiments (5 groups, n = 11/group). VLF combined with GABA markedly alleviated depression- and anxiety-like behaviors and also elevated the levels of serotonin (5-HT), norepinephrine (NE), and GABA in the hippocampus of mice. Furthermore, Golgi-Cox staining indicated that the combination of VLF and GABA significantly increased the density of dendritic spines and the number of dendritic intersections of hippocampal neurons in CUMS mice. In conclusion, the combination of VLF and GABA may exert improved anxiolytic and antidepressant effects through modulating neurotransmitters and neuroplasticity.