Rodent models are an indispensable tool for studying etiology and progress of depression. Since interrelated systems of neurotrophic factors and cytokines comprise major regulatory mechanisms controlling normal brain plasticity, impairments of these systems form the basis for development of cerebral pathologies, including mental diseases. The present review focuses on the numerous experimental rodent models of depression induced by different stress factors (exteroceptive and interoceptive) during early life (including prenatal period) or adulthood, giving emphasis to the data on the changes of neurotrophic factors and neuroinflammatory indices in the brain. These parameters are closely related to behavioral depression-like symptoms and impairments of neuronal plasticity and are both gender- and genotype-dependent. Stress-related changes in expression of neurotrophins and cytokines in rodent brain are region-specific. Some contradictory data reported by different groups may be a consequence of differences of stress paradigms or their realization in different laboratories. Like all experimental models, stress-induced depression-like conditions are experimental simplification of clinical depression states; however, they are suitable for understanding the involvement of neurotrophic factors and cytokines in the pathogenesis of the disease—a goal unachievable in the clinical reality. These major regulatory systems may be important targets for therapeutic measures as well as for development of drugs for treatment of depression states.