Although the pathophysiology of depressive disorder remains elusive, two hypothetical frameworks seem to be promising: the involvement of hypothalamic pituitary-adrenal (HPA) axis abnormalities and brain-derived neurotrophic factor (BDNF) in the pathogenesis and in the mechanism of action of antidepressant treatments. In this review, we focused on research based on these two frameworks in relation to depression and related conditions and tried to formulate an integrated theory of the disorder. Hormonal challenge tests, such as the dexamethasone/corticotropin-releasing hormone test, have revealed elevated HPA activity (hypercortisolism) in at least a portion of patients with depression, although growing evidence has suggested that abnormally low HPA axis (hypocortisolism) has also been implicated in a variety of stress-related conditions. Several lines of evidence from postmortem studies, animal studies, blood levels, and genetic studies have suggested that BDNF is involved in the pathogenesis of depression and in the mechanism of action of biological treatments for depression. Considerable evidence has suggested that stress reduces the expression of BDNF and that antidepressant treatments increase it. Moreover, the glucocorticoid receptor interacts with the specific receptor of BDNF, TrkB, and excessive glucocorticoid interferes with BDNF signaling. Altered BDNF function is involved in the structural changes and possibly impaired neurogenesis in the brain of depressed patients. Based on these findings, an integrated schema of the pathological and recovery processes of depression is illustrated.