Major depression is thought to originate from the interaction between susceptibility genes and adverse environmental events, in particular stress. The hypothalamus-pituitary-adrenal (HPA) axis is the major system involved in stress response and its dysregulation is an important element in the pathogenesis of depression. The stress response is therefore finely tuned through a series of mechanisms that control the trafficking of glucocorticoid receptors (GRs) to the nucleus, including binding to the chaperone protein FKBP5 and receptor phosphorylation, suggesting that these elements may also be affected under pathologic conditions. On these bases, we investigated FKBP5 and GR expression and phosphorylation in the hippocampus (ventral and dorsal) and in the prefrontal cortex of rats exposed to chronic mild stress (CMS) and we analyzed the effect of a concomitant antidepressant treatment. We found that animals exposed to CMS show increased expression of FKBP5 as well as enhanced cytoplasmic levels of GR, primarily in ventral hippocampus and prefrontal cortex. Chronic treatment with the antidepressant duloxetine is able to normalize such alterations, mainly in the prefrontal cortex. Moreover, we demonstrate that CMS-induced alterations of GR trafficking and transcription may be sustained by changes in receptor phosphorylation, which are also modulated by pharmacological intervention. In summary, while GR-related changes after CMS might be relevant for the depressive phenotype, the ability of antidepressant treatment to correct some of these alterations may contribute to the normalization of HPA axis dysfunctions associated with stress-related disorders.