Stress is an important risk factor for the onset of anxiety and depression. The ability to cope with stressful events varies among different subjects, probably depending on different genetic variants, sex and previous life experiences. The Val66Met variant of Brain-Derived Neurotrophic Factor (BDNF), which impairs the activity-dependent secretion of BDNF, has been associated with increased susceptibility to the development of various neuropsychiatric disorders. Adult male and female wild-type Val/Val (BDNFV/V) and heterozygous Val/Met (BDNFV/M) mice were exposed to two sessions of forced swimming stress (FSS) per day for two consecutive days. The mice were behaviorally tested 1 day (short-term effect) or 11 days (long-term effect) after the last stress session. Protein and mRNA levels were measured in the hippocampus 16 days after the end of stress exposure. Stressed mice showed a higher anxiety-like phenotype compared to non-stressed mice, regardless of the sex and genotype, when analyzed following the short period of stress. In the prolonged period, anxiety-like behavior persisted only in male BDNFV/M mice (p < 0.0001). Interestingly, recovery in male BDNFV/V mice was accompanied by an increase in pCREB (p < 0.001) and Bdnf4 (p < 0.01) transcript and a decrease in HDAC1 (p < 0.05) and Dnmt3a (p = 0.01) in the hippocampus. Overall, our results show that male and female BDNF Val66Met knock-in mice can recover from subchronic stress in different ways.