Adequate oxygen supply is essential for the human brain to meet its high energy demands. Therefore, elaborate molecular and systemic mechanism are in place to enable adaptation to low oxygen availability. Anxiety and depressive disorders are characterized by alterations in brain oxygen metabolism and of its components, such as mitochondria or hypoxia inducible factor (HIF)-pathways. Conversely, sensitivity and tolerance to hypoxia may depend on parameters of mental stress and the severity of anxiety and depressive disorders. Here we discuss relevant mechanisms of adaptations to hypoxia, as well as their involvement in mental stress and the etiopathogenesis of anxiety and depressive disorders. We suggest that mechanisms of adaptations to hypoxia (including metabolic responses, inflammation, and the activation of chemosensitive brain regions) modulate and are modulated by stress-related pathways and associated psychiatric diseases. While severe chronic hypoxia or dysfunctional hypoxia adaptations can contribute to the pathogenesis of anxiety and depressive disorders, harnessing controlled responses to hypoxia to increase cellular and psychological resilience emerges as a novel treatment strategy for these diseases.