In recent years, the gender perspective in scientific research and sex differences in biological studies on emotional disorders have become increasingly important. However, sex bias in basic research on anxiety and depression is still far from being covered. This review addresses the study of sex differences in the field of anxiety and depression using animal models that consider this issue so far. What can preclinical studies tell us and what are their main limitations? First, we describe the behavioral tests most frequently used in preclinical research to assess depressive-like and anxiety-like behaviors in rodents. Then, we analyze the main findings, strengths, and weaknesses of rodent models of anxiety and depression, dividing them into three main categories: sex chromosome complement-biased sex differences; gonadal hormone-biased sex differences; environmental-biased sex differences. Regardless of the animal model used, none can reproduce all the characteristics of such complex and multifactorial pathologies as anxiety and depressive disorders; however, each animal model contributes to elucidating the bases that underlie these disorders. The importance is highlighted of considering sex differences in the responses that emerge from each model.