Glucocorticoids are released after hypothalamus-pituitary-adrenal axis stimulation by stress and act both in the periphery and in the brain to bring about adaptive responses that are essential for life. Dysregulation of the stress response can precipitate psychiatric diseases, in particular depression. Recent genetic studies have suggested that the glucocorticoid carrier transcortin, also called corticosteroid-binding globulin (CBG), may have an important role in stress response. We have investigated the effect of partial or total transcortin deficiency using transcortin knockout mice on hypothalamus-pituitary-adrenal axis functioning and regulation as well as on behaviors linked to anxiety and depression traits in animals. We show that CBG deficiency in mice results in markedly reduced total circulating corticosterone at rest and in response to stress. Interestingly, free corticosterone concentrations are normal at rest but present a reduced surge after stress in transcortin-deficient mice. No differences were detected between transcortin-deficient mice for anxiety-related traits. However, transcortin-deficient mice display increased immobility in the forced-swimming test and markedly enhanced learned helplessness after prolonged uncontrollable stress. The latter is associated with an approximately 30% decrease in circulating levels of free corticosterone as well as reduced Egr-1 mRNA expression in hippocampus in CBG-deficient mice. Additionally, transcortin-deficient mice show no sensitization to cocaine-induced locomotor responses, a well described corticosterone-dependent test. Thus, transcortin deficiency leads to insufficient glucocorticoid signaling and altered behavioral responses after stress. These findings uncover the critical role of plasma transcortin in providing an adequate endocrine and behavioral response to stress.