Depression is a very common psychiatric disorder affecting approximately 300 million people worldwide with the prevalence being twice as high in women as in men. Despite intense research efforts in recent decades, the neurobiological basis underlying depression remains incompletely understood. However, the exposure to chronic stress is widely accepted to constitute a precipitating factor for the development of this mental disorder. Several animal models for the investigation of the pathogenetic link between chronic stress and depression exist and have yielded important insights. The present study aimed at comparing two published protocols for the induction of depression-like behavior in mice based on chronic oral glucocorticoid application. Given the gender distribution in the prevalence of depression, the second goal of this study was to reveal possible differences in the behavioral responses of female and male mice to corticosterone (CORT) treatment. CORT treatment was found to modulate depression-like behavior in selected behavioral paradigms in a sex- and protocol-specific manner. These data are of relevance for the experimental design and interpretation of future studies in the field and further highlight the relevance of “sex as biological variable” to be considered an important parameter for experimental planning and interpretation of results.