Stress precipitates depression and alters its natural history. Major depression and the stress response share similar phenomena, mediators and circuitries. Thus, many of the features of major depression potentially reflect dysregulations of the stress response. The stress response itself consists of alterations in levels of anxiety, a loss of cognitive and affective flexibility, activation of the hypothalamic-pituitary-adrenal (HPA) axis and autonomic nervous system, and inhibition of vegetative processes that are likely to impede survival during a life-threatening situation (eg sleep, sexual activity, and endocrine programs for growth and reproduction). Because depression is a heterogeneous illness, we studied two diagnostic subtypes, melancholic and atypical depression. In melancholia, the stress response seems hyperactive, and patients are anxious, dread the future, lose responsiveness to the environment, have insomnia, lose their appetite, and a diurnal variation with depression at its worst in the morning. They also have an activated CRH system and may have diminished activities of the growth hormone and reproductive axes. Patients with atypical depression present with a syndrome that seems the antithesis of melancholia. They are lethargic, fatigued, hyperphagic, hypersomnic, reactive to the environment, and show diurnal variation of depression that is at its best in the morning. In contrast to melancholia, we have advanced several lines of evidence of a down-regulated hypothalamic-pituitary adrenal axis and CRH deficiency in atypical depression, and our data show us that these are of central origin. Given the diversity of effects exerted by CRH and cortisol, the differences in melancholic and atypical depression suggest that studies of depression should examine each subtype separately. In the present paper, we shall first review the mediators and circuitries of the stress system to lay the groundwork for placing in context physiologic and structural alterations in depression that may occur as part of stress system dysfunction.