Depressive disorders are prevalent, costly, and poorly understood. Male rodents in stress paradigms are most commonly used as animal models, despite the two-fold increased prevalence of depression in women and sex differences in response to stress. Although these models have provided valuable insights, new models are needed to move the field forward. Social stress-associated behavioral depression in adult female cynomolgus macaques closely resembles human depression in physiological, neurobiological, and behavioral characteristics, including reduced body mass, hypothalamic-pituitary-adrenal axis perturbations, autonomic dysfunction, increased cardiovascular disease risk, reduced hippocampal volume, altered serotonergic function, decreased activity levels, and increased mortality. In addition, behaviorally depressed monkeys also have low ovarian steroid concentrations, even though they continue to have menstrual cycles. Although this type of ovarian dysfunction has not been reported in depressed women and is difficult to identify, it may be the key to understanding the high prevalence of depression in women. Depressive behavior in female cynomolgus monkeys is naturally occurring and not induced by experimental manipulation. Different social environmental challenges, including isolation vs. subordination, may elicit the depression-like response in some animals and not others. Similarly, social subordination is stressful and depressive behavior is more common in socially subordinate monkeys. Yet, not all subordinates exhibit behavioral depression, suggesting individual differences in sensitivity to specific environmental stressors and enhanced risk of behavioral depression in some individuals. The behavior and neurobiology of subordinates is distinctly different than that of behaviorally depressed monkeys, which affords the opportunity to differentiate between stressed and depressed states. Thus, behaviorally depressed monkeys exhibit numerous physiological, neurobiological, and behavioral characteristics same as those of depressed human beings. The nonhuman primate model represents a new animal model of depression with great promise for furthering our understanding of this prevalent and debilitating disease and identifying novel therapeutic targets.