Depression is a chronic and recurrent psychiatric condition characterised by depressed mood, loss of interest or pleasure, poor sleep, low appetite, and poor concentration. Research has shown that both heritable and environmental risk factors are involved in the pathogenesis of depression. In addition, several studies have indicated that dysregulation of the hypothalamic-pituitary-adrenal (HPA) axis is implicated in the development of depression in adulthood. However, the mechanism underlying the activation of HPA axis-induced depression remains unclear. Arginine vasopressin (AVP), also known as vasopressin (VP), is a hormone synthesised in the hypothalamus that plays important roles in numerous biological functions in mammals, including the regulation of stress and anxiety, and has been implicated in the pathogenesis of many disorders. VP regulates pituitary corticotroph function by binding to the plasma membrane G-protein receptors of the V receptor (VR), which are coupled to calcium-phospholipid signalling. VR, a receptor subtype of VP, plays a pivotal role in HPA axis abnormalities observed in depression. In animals, VR antagonists reduce plasma stress hormone levels and have been shown to have antidepressant activity. However, the precise mechanism of VR in modulating HPA axis activity remains unclear. We therefore reviewed and integrated the clinical and preclinical literature pertinent to the role of VR in depression, while emphasising the effect of VR antagonists on attenuating the hyperactivity of the HPA axis. In addition, therapy for depression through the regulation of the HPA axis is briefly discussed. Although effective antidepressants are available, a large proportion of patients do not respond to initial treatment. Therefore, this review describes the exact mechanisms of VR in depression and contributes to the development of new therapeutic strategies for this disease.