Depression induced by stress is affected by sex, age and hormonal status of the animal and also by duration and type of the stressors. Moreover, higher prevalence of depression and comorbidities in women than men implies the need to include the sex variable in studies on animal models of depression. The present study was therefore initiated to evaluate the effect of sex and ovarian hormones on depression-like phenotypes in mice exposed to a 21-day Chronic Variable Mild Stress (CVMS) paradigm. Adult male, intact female and, ovariectomized (OVX) female mice exposed to CVMS displayed despair behavior, a depression-like phenotype, in all the groups. However, intact females alone, but not males and OVX females, showed anhedonia, another depression-like phenotype. At the molecular level, the expression of Brain-Derived Neurotrophic Factor (BDNF), a neuropeptide associated with depression, and few other stress-specific genes CRH, NR3C1, CART, and NPY were measured in the Prefrontal Cortex (PFC) region of the reward circuitry. There was a significant decrease in the BDNF protein expression along with an increase in the mRNA expression of CRH, NR3C1, CART, and NPY in intact females, but not in the other two groups of mice. OVX females resembled males in behavioral and molecular responses to CVMS. 17beta-Estradiol (E2) administration, not Progesterone (P4), to OVX female stress mice, mitigated despair and enhanced hedonic capacity with an increased expression of BDNF in PFC. This study strengthens the evidence for the beneficial effects of E2 administration in stress condition.