Depression is one of the most prevalent forms of mental disorders and is the most common cause of disability in the Western world. Besides, the harmful effects of stress-related mood disorders on the patients themselves, they challenge the health care system with enormous social and economic impacts. Due to the high proportion of patients not responding to existing drugs, finding new treatment strategies has become an important topic in neurobiology, and there is much evidence that neuropeptides are not only involved in the physiology of stress but may also be clinically important. Based on preclinical trial data, new neuropharmaceutical candidates may target neuropeptides and their receptors and are expected to be essential and valuable tools in the treatment of psychiatric disorders. In the current article, we have summarized data obtained from animal models of depressive disorder and transgenic mouse models. We also focus on previously published research data of clinical studies on corticotropin-releasing hormone (CRH), galanin (GAL), neuropeptide Y (NPY), neuropeptide S (NPS), Oxytocin (OXT), vasopressin (VP), cholecystokinin (CCK), and melanin-concentrating hormone (MCH) stress research fields.