The role of chronic stress in the origin and development of depression has long been demonstrated. At the psychological level, it has been shown that chronic stress plays a critical role in the development of cognitive vulnerability, which predisposes to develop depressive symptoms. At the neurobiological level, tt has been shown that chronic stress produces dysregulation of the HPA axis, with the resulting increase in cortisol levels, and an array of neurobiological consequences, including alterations in neurotransmitter systems, such as serotonergic neurotransmission. In recent years, an extensive body of research contributed to better understand the underlying mechanisms that link chronic stress with depression. This integrative point of view takes into account these contributions, therefore introducing possible strategies aimed at developing more effective approaches in the clinical practice, including both the therapeutic and the preventive, focusing on the psychopharmacological and the psychotherapeutic levels.