Altered activity of the hypothalamic pituitary adrenal (HPA) axis is one of the most commonly observed neuroendocrine abnormalities in patients suffering from major depressive disorder (MDD). Altered cortisol secretion can be found in as many as 80% of depressed patients. This observation has led to intensive clinical and preclinical research aiming to better understand the molecular mechanisms which underlie the alteration of the HPA axis responsiveness in depressive illness. Dysfunctional glucocorticoid receptor (GR) mediated negative feedback regulation of cortisol levels and changes in arginine vasopressin (AVP)/vasopressin V1b receptor and corticotrophin-releasing factor/CRF1 receptor regulation of adrenocotricotrophin (ACTH) release have all been implicated in over-activity of the HPA axis. Agents that intervene with the mechanisms involved in (dys)regulation of cortisol synthesis and release are under investigation as possible therapeutic agents. The current status of some of these approaches is described in this review.