Depression is a serious public health problem and an important factor leading to disease-related disability. Influenced by many factors, such as psychological, hormonal, and genetic factors, the incidence rate of depression in females is approximately two times that in males. However, in preclinical neuroscience research, the selection of the animals’ sex for use in depression models has been controversial. At present, in most preclinical studies, the animals generally chosen in depression models have been male rodents rather than female rodents. It remains doubtful whether the data obtained from male animals can be generalized to female animals. The performance of female animals in preclinical studies of depression has been inconclusive. Based on a review of a large number of original studies in the PubMed database, it was found that although male rodents are more commonly used in the study of depression, the use of female animals also shows good modeling of depression and has its advantages. The influence of the animals’ sex in the chronic unpredictable mild stress (CUMS) model needs further research.