Sodium valproate (VPA) is an antiepileptic drug and mood stabilizer used to treat bipolar disorders. Recently, other psychiatric uses for VPA have been based on its antidepressive and neuroprotective effects. In the current work, the antidepressive mechanism of VPA was investigated by studying the expression of brain-derived neurotrophic factor (BDNF) and hypothalamic-pituitary-adrenal axis function in rats exposed to a protocol of chronic unpredicted stress (CUS). Male Sprague-Dawley rats were divided into a vehicle-treated control group (no CUS+vehicle), a VPA-treated control group (no CUS+VPA), a vehicle-treated model group (CUS+vehicle), and a VPA-treated model group (CUS+VPA). VPA (300 mg/kg once daily) was administered to rats (no CUS+VPA and CUS+VPA) by an intragastric gavage, whereas the same volume of vehicle was administered to rats in the no CUS+vehicle and CUS+vehicle groups. Rat behavior, serum corticosterone level, and expression of BDNF in the hippocampus and corticotrophin-releasing factor in the hypothalamus were determined. Compared with the CUS+vehicle rats, the CUS+VPA rats showed a significant relief in depression-like behaviors and a decrease in the corticosterone level and corticotropin-releasing factor expression with increasing expression of BDNF. The results suggest that the antidepressive effect of VPA is at least partly related to improving hypothalamic-pituitary-adrenal axis function and elevating the expression of BDNF.