In modern society, there has been a rising trend of depression and anxiety. This trend heavily impacts the population’s mental health and thus contributes significantly to morbidity and, in the worst case, to suicides. Modern medicine, with many antidepressants and anxiolytics at hand, is still unable to achieve remission in many patients. The pathophysiology of depression and anxiety is still only marginally understood, which encouraged researchers to focus on neuropeptides, as they are a vast group of signaling molecules in the nervous system. Neuropeptides are involved in the regulation of many physiological functions. Some act as neuromodulators and are often co-released with neurotransmitters that allow for reciprocal communication between the brain and the body. Most studied in the past were the antidepressant and anxiolytic effects of oxytocin, vasopressin or neuropeptide Y and S, or Substance P. However, in recent years, more and more novel neuropeptides have been added to the list, with implications for the research and development of new targets, diagnostic elements, and even therapies to treat anxiety and depressive disorders. In this review, we take a close look at all currently studied neuropeptides, their related pathways, their roles in stress adaptation, and the etiology of anxiety and depression in humans and animal models. We will focus on the latest research and information regarding these associated neuropeptides and thus picture their potential uses in the future.