Depression is a serious mental disorder that affects a wide range and a large number of people. Pathogenic hypotheses for the condition include classical hypothalamic-pituitary-adrenocortical (HPA) axis dysfunction and monoamine and neural plasticity deficiencies. More in-depth investigations are required to fully reveal the complexities of the pathogenesis and interactions between multiple pathogenic factors. Chronic stress is the main clinical factor that induces depression; therefore, it is vital to fully reveal the complex pathological mechanisms and the changes that occur during chronic stress exposure for the rapid and effective transformation of translational findings and the efficient prevention and treatment of the disease. Existing reviews related to depression pathogenesis have mainly focused on the classical hypotheses of HPA axis dysfunction and monoamine deficiency, as well as morphological and functional abnormalities of different brain subregions, neurons, central neurotransmitters, factors, and the corresponding receptors. The present review summarizes current depression research hotspots and new findings that have surfaced in recent years, such as genetic variants and epigenetic modifications, structural and functional abnormalities of glial cells (astrocytes and microglia), mitochondrial dysfunction, and systematic abnormalities (oxidative stress, immune inflammatory response, microbial-gut-brain). This paper systematically presents the research progress made into the mechanisms underlying chronic-stress-induced depressivelike behavior in animals, to benefit further in-depth studies into the pathogenesis, and to provide novel ideas for the clinical prevention and treatment of the disease.