Depression is a prevalent mental health disorder and is the number one cause of disability worldwide. Risk factors for depression include genetic predisposition and stressful life events, and depression is twice as prevalent in women compared to men. Both clinical and preclinical research have implicated a critical role for brain-derived neurotrophic factor (BDNF) signaling in depression pathology as well as therapeutics. A preponderance of this research has focused on the role of BDNF and its primary receptor tropomyosin-related kinase B (TrkB) in the cortex and hippocampus. However, much of the symptomatology for depression is consistent with disruptions in functions of the hypothalamus including changes in weight, activity levels, responses to stress, and sociability. Here, we review evidence for the role of BDNF and TrkB signaling in the regions of the hypothalamus and their role in these autonomic and behavioral functions associated with depression. In addition, we identify areas for further research. Understanding the role of BDNF signaling in the hypothalamus will lead to valuable insights for sex- and stress-dependent neurobiological underpinnings of depression pathology.