Chronic stress affects brain areas involved in learning and emotional responses. These alterations have been related with the development of cognitive deficits in major depression. The aim of this study was to determine the effect of chronic immobilization stress on the auditory and visual mesencephalic regions in the rat brain. We analyzed in Golgi preparations whether stress impairs the neuronal morphology of the inferior (auditory processing) and superior colliculi (visual processing). Afterward, we examined the effect of stress on acoustic and visual conditioning using an avoidance conditioning test. We found that stress induced dendritic atrophy in inferior colliculus neurons and did not affect neuronal morphology in the superior colliculus. Furthermore, stressed rats showed a stronger impairment in acoustic conditioning than in visual conditioning. Fifteen days post-stress the inferior colliculus neurons completely restored their dendritic structure, showing a high level of neural plasticity that is correlated with an improvement in acoustic learning. These results suggest that chronic stress has more deleterious effects in the subcortical auditory system than in the visual system and may affect the aversive system and fear-like behaviors. Our study opens a new approach to understand the pathophysiology of stress and stress-related disorders such as major depression.