Chronic stress is a risk factor for the development of many psychopathological conditions in humans, including major depression and anxiety disorders. There is a high degree of comorbidity of depression and anxiety. Moreover, cognitive impairments associated with frontal lobe dysfunction, including deficits in cognitive set-shifting and behavioral flexibility, are increasingly recognized as major components of depression, anxiety disorders, and other stress-related psychiatric illnesses. To begin to understand the neurobiological mechanisms underlying the cognitive and emotional consequences of chronic stress, it is necessary to employ an animal model that exhibits similar effects. In the present study, a rat model of chronic unpredictable stress (CUS) consistently induced a cognitive impairment in extradimensional set shifting capability in an attentional set shifting test, suggesting an alteration in function of the medial prefrontal cortex. CUS also increased anxiety-like behavior on the elevated plus-maze. Further, chronic treatment both with the selective norepinephrine reuptake blocker, desipramine (7.5 mg/kg/day), and the selective serotonin reuptake blocker, escitalopram (10 mg/kg/day), beginning 1 week before CUS treatment and continuing through the behavioral testing period, prevented the CUS-induced deficit in extradimensional set-shifting. Chronic desipramine treatment also prevented the CUS-induced increase in anxiety-like behavioral reactivity on the plus-maze, but escitalopram was less effective on this measure. Thus, CUS induced both cognitive and emotional disturbances that are similar to components of major depression and anxiety disorders. These effects were prevented by chronic treatment with antidepressant drugs, consistent also with clinical evidence that relapse of depressive episodes can be prevented by antidepressant drug treatment.