Various studies have indicated that the prevalence of depression is almost twice as high among women as among men. A major factor associated with the development of depression and other affective disorders are adverse and psychologically traumatic life events that contribute to changes in the neuroendocrine system, altering the capacity to adapt to stress. These changes are involved in the pathogenesis of mental disorders, along with genetic and other factors, and are to a significant degree regulated by gender dependent mechanisms. While women have a high prevalence of depressive disorders, men show a higher rate of alcohol and substance abuse. These differences in the epidemiology are most likely explained by different predisposition to mental disorders in men and women and a diversity of biological consequences to adverse life events. Taking this into account, there is a need for a critical review of currently used approaches to modeling depressive disorders in preclinical studies, including the use of animals of both sexes. Adaptation of experimental models and protocols taking into account gender characteristics of neuroendocrine changes in response to stress, as well as structural-morphological, electrophysiological, molecular, genetic and epigenetic features, will significantly increase the translational validity of experimental work.