Alterations in oscillatory brain activity are strongly correlated with cognitive performance in various physiological rhythms. The present study investigated whether the directionality of neural information flow (NIF) could be used to characterize the synaptic plasticity in thalamocortical (TC) pathway, and examined which frequency field oscillations were mostly related to the cognitive deficiency in depression. Two novel algorithms were employed to determine the coupling interaction between the LD thalamus and medial prefrontal cortex (mPFC) in five frequency bands, using the phase signals of local field potentials (LFP) in these two regions. The results showed that the power of neural activity in mPFC was increased in delta, theta and beta frequency bands in depression. However, the nonlinear characteristics of LFP activity were weakened in depression by means of sample entropy measurements. In the analysis of phase dynamics, the phase synchronization values were reduced in theta rhythm in stressed rats. Importantly, the coupling direction index d and the unidirectional influence from LD thalamus to mPFC were significantly reduced at the theta rhythm in rats in depression, and increased after memantine treatment, which were associated with the LTP alterations and cognitive impairment in our previous report. Moreover, the fact that the reduced entropy value was only found in mPFC might implicate postsynaptic effect involved in synaptic plasticity alteration in the depression model. The results suggest that the effects of depression on cognitive deficits are mediated via profound alterations in information flow in the TC pathway, and the directional index at theta rhythm could be used as a measurement of synaptic plasticity.