Major depressive disorder is a complex disease implicating many brain circuitries. The clinical symptomatology is inconsistent and heterogenous and the pathogenesis is a complicated interplay of genetic and environmental factors. The episodic and recurrent nature of the disease, as well as the fact that several symptoms are only verbally expressed, make it challenging to establish valid and legitimate animal models of this disease. The purpose of this review is to provide some background knowledge and overview of valid rodent models of depression with an emphasis on our own experience with a chronic mild stress model in modeling of anhedonia and cognitive impairments associated with depression. In a final concluding remark, a 'dying-forward' hypothesis, for development of depression, is suggested on the basis of mainly our own data on a hippocampal pathology.