Major depression is characterized for symptoms at the psychological, behavioral and physiological levels. The chronic mild stress model has been used as an animal model of depression. The consumption of sweet food, locomotor activity, body weight, lipid and protein oxidation levels and superoxide dismutase and catalase activities in the rat hippocampus, prefrontal cortex and cortex were assessed in rats exposed to chronic mild stress. Our findings demonstrated a decrease on sweet food intake, no effect on locomotor activity, lack of body weight gain, increase in protein (prefrontal, hippocampus, striatum and cortex) and lipidic peroxidation (cerebellum and striatum), and an increase in catalase (cerebellum, hippocampus, striatum, cortex) and a decrease in superoxide dismutase activity (prefrontal, hippocampus, striatum and cortex) in stressed rats. In conclusion, our results support the idea that stress produces oxidants and an imbalance between superoxide dismutase and catalase activities that contributes to stress-related diseases, such as depression.