Stress is defined as a state of perturbed homeostasis following endangerment that evokes manifold adaptive reactions, which are summarized as the stress response. In the case of mental stress, the adaptive response follows the perception of endangerment. Different peptides, steroids, and biogenic amines operate the stress response within the brain and also after they have been released into circulation. We focus in this review on the biological roles of corticosteroids, corticotrophin-releasing hormone (CRH), and arginine vasopressin (AVP), and we evaluate the effects of treatments directed against the actions of these hormones. CRH and AVP are the central drivers of the stress hormone system, but they also act as neuromodulators in the brain, affecting higher mental functions including emotion, cognition, and behavior. When released toward the pituitary, these central neuropeptides elicit corticotrophin into the periphery, which activates corticosteroid release from the adrenal cortex. These stress hormones are essential for the adequate adaptation to stress, but they can also evoke severe clinical conditions once persistently hypersecreted. Depression and anxiety disorders are prominent examples of stress-related disorders associated with an impaired regulation of stress hormones. We summarize the effects of drugs acting at specific targets of the stress hormone axis, and we discuss their potential use as next-generation antidepressant medications. Such treatments require the identification of patients that will optimally benefit from such specific interventions. These could be a first step into personalized medicine using treatments tailored to the specific pathology of the patients.