Studies show that sex plays a role in stress-related depression, with women experiencing a higher vulnerability to its effect. Two major targets of antidepressants are brain-derived neurotrophic factor (BDNF) and cyclic adenosine monophosphate response element–binding protein (CREB). The aim of this study was to investigate the levels of CREB, phosphorylation of CREB (pCREB), and BDNF in stress-related brain regions of male and female rats after stress and recovery. CREB and pCREB levels were examined in CA1, CA2, CA3, paraventricular nucleus of the thalamus (PVT), amygdala, anterior cingulate area, dorsal part (ACAd), and infralimbic area of prefrontal cortex (PFC), whereas dentate gyrus (DG) and prelimbic area (PL) of PFC were examined for BDNF levels. Our results demonstrate that levels of CREB and pCREB in male CA1, CA2 and CA3, PVT, amygdala, and ACAd were reduced by stress, whereas the same brain regions of female rats exhibited no change. BDNF levels were decreased by chronic stress in female PL but were increased by acute stress in female DG. BDNF levels in male DG and PL were found not to undergo change in response to stress. Abnormalities in morphology occurred after chronic stress in males but not in females. In all cases, the levels of CREB, pCREB, and BDNF in recovery animals were comparable to the levels of these proteins in control animals. These findings demonstrate a sexual dimorphism in the molecular response to stress and suggest that these differences may have important implications for potential therapeutic treatment of depression.