Major depressive disorder is a serious mental disorder that profoundly affects an individual's quality of life. Although the aetiologies underlying this disorder remain unclear, an increasing attention has been focused on the influence imposed by psychological stress over depression. Despite limited animal models of psychological stress, significant progress has been made as to be explicated in this review to elucidate the physiopathology underlying depression and to treat depressive symptoms. Therefore, we will review classical models along with new methods that will enrich our knowledge of this disorder.