Background: Depression is a common psychiatric disorder that may be caused by dysregulation of the hypothalamic–pituitary–adrenal (HPA) axis. The glucocorticoid receptor (GR) plays a significant role in regulating this axis. One negative regulator of GR action, previously associated with depressive behavior, is the overexpression of FK506-binding protein 5 (FKBP5), which may be regulated by microRNAs, including miR-511-5p. Objectives: In a rat model of depression, we aimed to investigate the expression of Fkbp5 and its regulator, miRNA-511-5p, during short- and long-term lithium treatment in four brain regions: the hypothalamus, hippocampus, pituitary, and frontal cortex. Methods: We used a rat model of depression induced by chronic mild stress (CMS) to assess if short- and long-term lithium treatment (7 and 42 days) influences Fkbp5 expression in the brain. We also assessed the effects of lithium treatment on the blood levels of corticosterone in CMS-exposed rats as compared to control groups. The changes in the expression of Fkbp5 were assessed by qPCR and Western blot. The expression of rno-miR-511-5p was assessed using qPCR. Statistical analysis was conducted in GraphPad Prism 9. Results: We found that long-term lithium treatment increased the expression of the FKBP5 protein in the pituitary gland in the lithium-treated rats compared to the control group. We also observed significant changes in Fkbp5 mRNA levels between CMS-exposed rats compared to the control animals, without significant changes in mRNA levels observed during short- and long-term lithium treatment in any brain region. We found no expression of rno-miR-511-5p in the analyzed brain regions. The corticosterone levels were significantly higher in CMS-exposed rats compared to the control, with no significant changes found between lithium-treated and control rats. Conclusions: FKBP5 protein expression in the brain may be regulated by long-term lithium treatment, thus affecting GR signaling in the rat depression model.