The presented results confirm the hypothesis that the oxidative and nitrosative stress is involved in the pro-depressive effects of the CMS procedure and in the mechanisms of therapeutic action of agomelatine in this model of depression: (1) CMS causes the modulation of Sod1 expression in PBMCs and Gpx4 in the brain; (2) the administration of agomelatine modifies the expression of Sod2, Gpx1, Gpx4, and Nos2 in PBMCs, and Sod1 and Sod2 in the brain; (3) CMS and agomelatine change the methylation status of Gpx1, Gpx4, and Nos1 promoter in PBMCs and in the brain. This evidence concerns the gene GPX4 and depressive disorder.