The current antidepressant drugs are ineffective in 30 to 40% of the treated patients; hence, the pathophysiology of the disease needs to be further elucidated. We used the chronic mild stress (CMS) paradigm to induce anhedonia, a core symptom of major depression, in rats. A fraction of the animals exposed to CMS is resistant to the development of anhedonia; they are CMS resilient. In the CMS-sensitive animals, the induced anhedonic state is reversed in 50% of the animals when treating with escitalopram, whereas the remaining animals are treatment resistant. We used the microarray and the real-time quantitative reverse transcription polymerase chain reaction technique, as well as the ingenuity pathway analysis software to identify the differential gene expression pathways, which are associated with the occurrence of the treatment resistance and the stress-resilient rats. In the hippocampus, we found a significant upregulation of apoptotic pathways in the treatment-resistant animals and significantly increased expression levels of genes involved in hippocampal signaling in the CMS-resilient rats. We hypothesize that sensitivity to the stress-induced anhedonia in rats is correlated with the impairment of hippocampal neurogenesis.