Major depressive disorder (MDD) is one of the leading causes of years lived with disability and contributor to the burden of disease worldwide. The incidence of MDD has increased by ~20% in the last decade. Currently antidepressant drugs such as the popular selective serotonin reuptake inhibitors (SSRIs) are the leading form of pharmaceutical intervention for the treatment of MDD. SSRIs however, are inefficient in ameliorating depressive symptoms in ~50% of patients and exhibit a prolonged latency of efficacy. Due to the burden of disease, there is an increasing need to understand the neurobiology underpinning MDD and to discover effective treatment strategies. Endogenous models of MDD, such as the Wistar-Kyoto (WKY) rat provide a valuable tool for investigating the pathophysiology of MDD. The WKY rat displays behavioural and neurobiological phenotypes similar to that observed in clinical cases of MDD, as well as resistance to common antidepressants. Specifically, the WKY strain exhibits increased anxiety- and depressive-like behaviours, as well as alterations in Hypothalamic Pituitary Adrenal (HPA) axis, serotonergic, dopaminergic and neurotrophic systems with emerging studies suggesting an involvement of neuroinflammation. More recent investigations have shown evidence for reduced cortical and hippocampal volumes and altered glutamatergic signalling in the WKY strain. Given the growing interest in therapeutics targeting the glutamatergic system, the WKY strain presents itself as a potentially useful tool for screening novel antidepressant drugs and their efficacy against treatment resistant depression. However, despite the sexual dimorphism present in the pathophysiology and aetiology of MDD, sex differences in the WKY model are rarely investigated, with most studies focusing on males. Accordingly, this review highlights what is known regarding sex differences and where further research is needed. Whilst acknowledging that investigation into a range of depression models is required to fully elucidate the underlying mechanisms of MDD, here we review the WKY strain, and its relevance to the clinic.