Changes in the hypothalamic-pituitary-adrenocortical (HPA) system are characteristic of depression, and in the majority of these patients these result in HPA axis hyperactivity. This is further supported by the reduced sensitivity to the inhibitory effects of the glucocorticoid, dexamethasone (DEX), on the production of adrenocorticotropic hormone (ACTH) and cortisol, during the DEX suppression test and the DEX-corticotropin-releasing hormone (DEX/CRH) test. Because the effects of glucocorticoids are mediated by intracellular receptors including, most notably, the glucocorticoid receptor (GR), several studies have examined the number and/or function of GRs in depressed patients. These studies have consistently demonstrated that GR function is impaired in major depression, resulting in reduced GR-mediated negative feedback on the HPA axis and increased production and secretion of CRH in various brain regions postulated to be involved in the causality of depression. This article summarizes the literature on GR in depression and on the impact of antidepressants on the GR in clinical and preclinical studies, and supports the concept that impaired GR signaling is a key mechanism in the pathogenesis of depression, in the absence of clear evidence of decreased GR expression. The data also indicate that antidepressants have direct effects on the GR, leading to enhanced GR function and increased GR expression. Hypotheses regarding the mechanism of these receptor changes involve non-steroid compounds that regulate GR function via second messenger pathways, such as cytokines and neurotransmitters. Moreover, we present recent evidence suggesting that membrane steroid transporters such as the multidrug resistance (MDR) p-glycoprotein, which regulate access of glucocorticoids to the brain, could be a fundamental target of antidepressant treatment. Research in this field will lead to new insights into the pathophysiology and treatment of affective disorders.