Depression is one of the most common mental diseases, with increasing numbers of patients globally each year. In addition, approximately 30% of patients with depression are resistant to any treatment and do not show an expected response to first-line antidepressant drugs. Therefore, novel antidepressant agents and strategies are required. Although depression is triggered by post-birth stress, while some individuals show the pathology of depression, others remain resilient. The molecular mechanisms underlying stress sensitivity remain unknown. Brain-derived neurotrophic factor (BDNF) has both pro- and anti-depressant effects, dependent on brain region. Considering the strong region-specific contribution of BDNF to depression pathogenesis, the regulation of BDNF in the whole brain is not a beneficial strategy for the treatment of depression. We reviewed a novel finding of BDNF function in the dorsal striatum, which induces vulnerability to social stress, in addition to recent research progress regarding the brain regional functions of BDNF, including the prefrontal cortex, hippocampus, and nucleus accumbens. Striatal BDNF is regulated by Shati/Nat8l, an N-acetyltransferase through epigenetic regulation. Targeting of Shati/Nat8l would allow BDNF to be striatum-specifically regulated, and the striatal Shati/Nat8l-BDNF pathway could be a promising novel therapeutic agent for the treatment of depression by modulating sensitivity to stress.