Depressive disorders are the most common form of mental illness in America, affecting females twice as often as males. The great variability of symptoms and responses to therapeutic treatment emphasize the complex underlying neurobiology of disease onset and progression. Evidence from human and animal studies reveals a vital link between individual stress sensitivity and the predisposition toward mood disorders. While the stress response is essential for maintenance of homeostasis and survival, chronic stress and maladaptive responses to stress insults can lead to depression or other affective disorders. A key factor in the mediation of stress responsivity is the neuropeptide corticotropin-releasing factor (CRF). Studies in animal models of heightened stress sensitivity have illustrated the involvement of CRF downstream neurotransmitter targets, including serotonin and norepinephrine, in the profound neurocircuitry failure that may underlie maladaptive coping strategies. Stress sensitivity may also be a risk factor in affective disorder development susceptibility. As females show an increased stress response and recovery time compared to males, they may be at an increased vulnerability for disease. Therefore, examination of sex differences in CRF and downstream targets may aid in the elucidation of the underlying causes of the increased disease presentation in females. While we continue to make progress in our understanding of mood disorder etiology, we still have miles to go before we sleep. As an encouraging number of new animal models of altered stress sensitivity and negative stress coping strategies have been developed, the future looks extremely promising for the possibility of a new generation of drug targets to be developed.