Hypothalamic-pituitary-adrenal (HPA) axis dysregulation is linked to the pathophysiology of depression. Although exogenous adrenocorticotropic hormone (ACTH) is associated with a depressive-like phenotype in rodents, comprehensive neurobehavioral and mechanistic evidence to support these findings are limited. Sprague-Dawley rats (male, n = 30; female, n = 10) were randomly assigned to the control (male, n = 10) or ACTH (male, n = 20; female n = 10) groups that received saline (0.1 ml, sc.) or ACTH (100 μg/day, sc.), respectively, for two weeks. Thereafter, rats in the ACTH group were subdivided to receive ACTH plus saline (ACTH_S; male, n = 10; female, n = 5; 0.2 ml, ip.) or ACTH plus imipramine (ACTH_I; male, n = 10; female, n = 5;10 mg/kg, ip.) for a further four weeks. Neurobehavioral changes were assessed using the forced swim test (FST), the sucrose preference test (SPT), and the open field test (OFT). Following termination, the brain regional mRNA expression of BDNF and CREB was determined using RT-PCR. After two-weeks, ACTH administration significantly increased immobility in the FST (p = 0.03), decreased interaction with the center of the OFT (p < 0.01), and increased sucrose consumption (p = 0.03) in male, but not female rats. ACTH administration significantly increased the expression of BDNF in the hippocampus and CREB in all brain regions in males (p < 0.05), but not in female rats. Imipramine treatment did not ameliorate these ACTH-induced neurobehavioral or molecular changes. In conclusion, ACTH administration resulted in a sex-specific onset of depressive-like symptoms and changes in brain regional expression of neurotrophic factors. These results suggest sex-specific mechanisms underlying the development of depressive-like behavior in a model of ACTH-induced HPA axis dysregulation.