The neuropeptides corticotropin-releasing hormone (CRH) and arginine vasopressin (AVP) are crucially involved in the pathogenesis of depression. The close correlation between the etiology of depression and dysregulation of the stress responses is based upon a hyperactivity of the hypothalamo-pituitary-adrenal (HPA) axis. CRH neurons in the paraventricular nucleus are the motor of the HPA-axis. Centrally released CRH, AVP, and increased levels of cortisol all contribute to the signs and symptoms of depression. Single-nucleotide polymorphisms in the CRH and AVP receptor genes are associated with the risk for depression. Activation of the HPA-axis is generally regarded to be the final common pathway of the pathogenesis of depression. Sex hormones are crucially involved in the regulation of CRH gene expression. The decreased activity of the biological clock, the suprachiasmatic nucleus, as indicated by its lower AVP expression, is the basis for the disturbed rhythms in depression. Both similarities and differences are found in the activity changes in the CRH and AVP systems in depressive disorders and depression in Alzheimer's disease.