Vulnerability of females to depression among humans has not previously been reflected in animal models. Here, we show, by using a novel animal model of depression, that young female Wistar rats are clearly more vulnerable to depression induction than the males. This differential female vulnerability follows estrous cycle stages, is associated with cognitive impairment, and can be markedly transformed with sex hormones. Male hormone reduces vulnerability in females, whereas female hormone increases vulnerability in males. The induced depressive behavior in both sexes, however, is sensitive to imipramine and to the antagonism of the glucocorticoid receptors within a hormonal pathway previously implicated in human depression. Anisomycin, a protein synthesis inhibitor, eliminates the antidepressive effects of both antidepressants and male hormone but does not affect depression induction and estradiol-induced higher vulnerability. Moreover, direct cerebroventricular administration of brain-derived neurotrophic factor (BDNF), whose mRNA levels in the hippocampus and frontal cortex reach its lowest levels when estrogen levels are highest, is sufficient to rescue the antidepressive effects in the presence of the protein synthesis inhibitor. A selective enhancement of BDNF expression and/or BDNF signal cascades in the neural circuits controlling mood may represent an effective strategy for the development of novel antidepressants for both sexes, whereas blocking the gender-related higher vulnerability to potentially depressogenic events may lead to the development of specific antidepressants for the females.