An abnormality in adaptation to negative life events is considered as one of the main causes of the development of depressive symptoms. According to the corticosteroid receptor hypothesis of depression, stress-induced activation of the hypothalamic-pituitary-adrenal (HPA) axis plays an important role in the induction of psycho-emotional disturbances. The end products of this axis, glucocorticoids, are involved in the formation of many physiological and behavioral responses to stress. Although the increase in hormone levels following a short-term intervention is directed towards rapid mobilization of the body’s efforts for overcoming a potentially dangerous situation, long-term exposure to stress or glucocorticoids may have negative consequences for the mood and behavior. With respect to the mechanisms of the changing effects of glucocorticoids from protective to damaging, glucocorticoid receptors (GRs) have received the most attention. These receptors are widely expressed in the brain. They are important regulators of the transcriptional activities of numerous genes, including the gene for a plasticity-related protein such as the brain-derived neurotrophic factor (BDNF), which has been implicated in psychiatric disorders. In addition to the direct effects on gene transcription, changes in the expression of the GRs themselves resulting from stress and/or glucocorticoid effects can in turn modify the functional responses to the subsequent stimuli. The purpose of this review was to analyze the available published data on the effects of stress and glucocorticoids on the expression of GRs in the hippocampus, which is traditionally considered as the most sensitive to stress brain structure. The review also addresses the implication of the interplay of GRs and BDNF in the pathogenesis of stress-related disorders.