A large volume of clinical and experimental evidence documents sex differences in brain anatomy, chemistry, and function, as well as in stress and drug responses. The chronic mild stress model (CMS) is one of the most extensively investigated animal models of chronic stress. However, only a limited number of studies have been conducted in female rodents despite the markedly higher prevalence of major depression among women. Herein, we review CMS studies conducted in rats and mice of both sexes and further discuss intriguing sex-dependent behavioral and neurobiological findings. The PubMed literature search engine was used to find and collect all relevant articles analyzed in this review. Specifically, a multitermed search was performed with ‘chronic mild stress’, ‘chronic unpredictable stress’ and ‘chronic variable stress’ as base terms and ‘sex’, ‘gender’, ‘females’ and ‘depression’ as secondary terms in various combinations. Male and female rodents appear to be differentially affected by CMS application, depending on the behavioral, physiological, and neurobiological indices that are being measured. Importantly, the CMS paradigm, despite its limitations, has been successfully used to assess a constellation of interdisciplinary research questions in the sex differences field and has served as a ‘silver bullet’ in assessing the role of sex in the neurobiology of major depression.