Currently, over 300 million people worldwide have depression, and the socioeconomic burden of this debilitating disorder is anticipated to increase markedly over the coming decades against a background of increasing global turmoil. Despite this impending crisis, we are still waiting for improved therapeutic options for this disorder to emerge, which has led to increasing criticism of the role and value of preclinical models of depression. In this Review, we examine this landscape, focusing firstly on issues related to the terminology used in this context and the myriad of preclinical approaches to modelling and assaying aspects of depression in rodents. We discuss the importance of sex as a biological variable and the controversial idea of intergenerational and transgenerational transmission of depressive-like traits. We then examine the technical strategies available to dissect these models and review emerging evidence for putative druggable disease mechanisms. Finally, we propose a brief framework for future research that makes optimal use of these models and will, we hope, accelerate the discovery of improved antidepressants.