Depression is characterized by a significant sex disparity, with higher rates observed in women compared to men. This study aimed to investigate the impact of sex on depressive behaviors and explore the underlying mechanisms using a corticosterone (CORT)-induced depression model in mice. Behavioral tests, Nissl staining, UPLC-MS/MS, and Western blot analysis were performed to assess behavioral changes, as well as neuronal alterations, neurotransmitter levels, and protein expressions in the hippocampus. The mice in the model group exhibited sex-specific anxiety- and depression-like behaviors. Nissl staining revealed structural abnormalities in the CA3 region of the hippocampus in females. Neurotransmitter analysis indicated decreased serotonin and norepinephrine levels in both sexes, while glutamate levels were elevated in females. Furthermore, female mice demonstrated elevated serum CORT levels. Western blot analysis revealed sex-specific alterations in specific protein expression. Female mice exhibited downregulated glucocorticoid receptor and brain-derived neurotrophic factor expression, whereas male mice showed minimal changes. Additionally, female mice displayed reduced phosphorylated AKT, phosphorylated PI3K, and phosphorylated mTOR levels. These findings enhance our understanding of sex-specific differences in the CORT-induced depression model and provide insights into the underlying mechanisms of depression. This research emphasizes sex in depression studies and supports tailored interventions.