Major depressive disorder is characterized, among other symptoms, by depressed mood and anhedonia associated with a high rate of suicidal ideation. In recent years, research has shown reduced expression of the brain-derived neurotrophic factor (BDNF) in limbic areas of individuals with depression. This reduction of BDNF is reversed by antidepressants in animal models of stress. Stress is one of the main triggers of mood disorders such as depression. Also, administration of BDNF increases the number of serotonergic fibers and serotonergic innervation, indicating an increase of serotonin in the synaptic cleft by this neurotrophin. Thus, BDNF appears to be one of the targets of antidepressant drugs for the increase of monoamines and remission of symptoms of major depression. The purpose of this review was to show the evidence that indicates BDNF as a molecular substrate for vulnerability to depression and the response of this substrate to the antidepressants.