Depressive and anxiety disorders are highly prevalent in the population. These conditions have significant neurobiological consequences involving functional and molecular alterations in distinctive areas of the central nervous system (CNS). Preclinical studies using experimental models have led to a greater understanding of the neurological mechanisms underlying depression and anxiety. Alterations of the serotoninergic, noradrenergic, and dopaminergic neurotransmission and activation of the hypothalamic-pituitary-adrenal (HPA) axis are pointed out as significant mechanisms underlying depression and anxiety. Antidepressant pharmacotherapy is currently used in the treatment of depression. These drugs belong to distinctive pharmacological classes and act in multiple targets to promote their pharmacological effects. The present work summarizes the major changes in neurotransmission associated with depression and anxiety. The role of serotonin (5-hydroxytryptamine, 5-HT), serotonin transporter (SERT), glucocorticoid receptor (GR), and HPA axis in the neurobiology of depression is discussed. Information on the interaction between SERT and GR and its implication for anxiety and depression is also provided.