Growth hormone (GH)-releasing hormone (GHRH) has been suggested to play a crucial role in brain function. We aimed to further investigate the effects of a novel GHRH antagonist of the Miami (MIA) series, MIA-602, on emotional disorders and explore the relationships between the endocrine system and mood disorders. In this context, the effects induced by MIA-602 were also analyzed in comparison to vehicle-treated mice with GH deficiency due to generalized ablation of the GHRH gene (GHRH knock out (GHRHKO)). We show that the chronic subcutaneous administration of MIA-602 to wild type (+/+) mice, as well as generalized ablation of the GHRH gene, is associated with anxiolytic and antidepressant behavior. Moreover, immunohistochemical and Western blot analyses suggested an evident activation of Nrf2, HO1, and NQO1 in the prefrontal cortex of both +/+ mice treated with MIA-602 (+/+ MIA-602) and homozygous GHRHKO (−/− control) animals. Finally, we also found significantly decreased COX-2, iNOS, NFkB, and TNF-α gene expressions, as well as increased P-AKT and AKT levels in +/+ MIA-602 and −/− control animals compared to +/+ mice treated with vehicle (+/+ control). We hypothesize that the generalized ablation of the GHRH gene leads to a dysregulation of neural pathways, which is mimicked by GHRH antagonist treatment.