Exposure to chronic psychosocial stress is a risk factor for metabolic disorders. Because dipeptidyl peptidase‐4 (DPP4) and cysteinyl cathepsin K (CTSK) play important roles in human pathobiology, we investigated the role(s) of DPP4 in stress‐related adipocyte differentiation, with a focus on the glucagon‐like peptide‐1 (GLP‐1)/adiponectin‐CTSK axis in vivo and in vitro. Plasma and inguinal adipose tissue from non‐stress wild‐type (DPP4+/+), DPP4‐knockout (DPP4−/−) and CTSK‐knockout (CTSK−/−) mice, and stressed DPP4+/+, DPP4−/−, CTSK−/−, and DPP4+/+ mice underwent stress exposure plus GLP‐1 receptor agonist exenatide loading for 2 weeks and then were analyzed for stress‐related biological and/or morphological alterations. On day 14 under chronic stress, stress decreased the weights of adipose tissue and resulted in harmful changes in the plasma levels of DPP4, GLP‐1, CTSK, adiponectin, and tumor necrosis factor‐α proteins and the adipose tissue levels of CTSK, preadipocyte factor‐1, fatty acid binding protein‐4, CCAAT/enhancer binding protein‐α, GLP‐1 receptor, peroxisome proliferator‐activated receptor‐γ, perilipin2, secreted frizzled‐related protein‐4, Wnt5α, Wnt11 and β‐catenin proteins and/or mRNAs as well as macrophage infiltration in adipose tissue; these changes were rectified by DPP4 deletion. GLP‐1 receptor activation and CTSK deletion mimic the adipose benefits of DPP4 deficiency. In vitro, CTSK silencing and overexpression respectively prevented and facilitated stress serum and oxidative stress‐induced adipocyte differentiation accompanied with changes in the levels of pref‐1, C/EBP‐α, and PPAR‐γ in 3T3‐L1 cells. Thus, these findings indicated that increased DPP4 plays an essential role in stress‐related adipocyte differentiation, possibly through a negative regulation of GLP‐1/adiponectin‐CTSK axis activation in mice under chronic stress conditions.