Depression is a common neurological disorder that requires effective drug delivery to the brain for improved therapeutic outcomes. Venlafaxine, an antidepressant, exhibits limited brain availability due to extensive first-pass metabolism and the blood–brain barrier. The present study aims to formulate and characterize a venlafaxine-loaded nanostructured lipid carrier (NLC) incorporated into an in situ intranasal gel for direct nose-to-brain delivery. The NLCs are prepared using the hot homogenization–ultrasonication method and evaluated for particle size, polydispersity index, zeta potential, entrapment efficiency, and in vitro drug release. The optimized NLC formulation is incorporated into a thermosensitive in situ gel and assessed for pH, gelation temperature, viscosity, mucoadhesive strength, and ex vivo nasal permeation. The developed formulation is expected to enhance nasal residence time, improve brain targeting, provide sustained drug release, and increase the therapeutic efficacy of venlafaxine. Therefore, the proposed NLC-loaded in situ intranasal gel represents a promising and non-invasive strategy for efficient brain delivery of venlafaxine.