Brain-derived neurotrophic factor (BDNF), a critical member of the neurotrophic family, plays an important role in multiple stress-related mental disorders. Although alterations in BDNF in multiple brain regions of individuals experiencing stress have been demonstrated in previous studies, it appears that a set of elements are involved in the complex regulation. In this review, we summarize the specific brain regions with altered BDNF expression during stress exposure. How various environmental factors, including both physical and psychological stress, affect the expression of BDNF in specific brain regions are further summarized. Moreover, epigenetic regulation of BDNF, including DNA methylation, histone modification, and noncoding RNA, in response to diverse types of stress, as well as sex differences in the sensitivity of BDNF to the stress response, is also summarized. Clarification of the underlying role of BDNF in the stress process will promote our understanding of the pathology of stress-linked mental disorders and provide a potent target for the future treatment of stress-related illness.