Stressful life events produce a state of vulnerability to depression in some individuals. The mechanisms that contribute to vulnerability to depression remain poorly understood. A rat model of intense stress (social defeat (SD), first hit) produced vulnerability to depression in 40% of animals. Only vulnerable animals developed a depression-like phenotype after a second stressful hit (chronic mild stress). We found that this vulnerability to depression resulted from a persistent state of oxidative stress, which was reversed by treatment with antioxidants. This persistent state of oxidative stress was due to low brain-derived neurotrophic factor (BDNF) levels, which characterized the vulnerable animals. We found that BDNF constitutively controlled the nuclear translocation of the master redox-sensitive transcription factor Nrf2, which activates antioxidant defenses. Low BDNF levels in vulnerable animals prevented Nrf2 translocation and consequently prevented the activation of detoxifying/antioxidant enzymes, ultimately resulting in the generation of sustained oxidative stress. Activating Nrf2 translocation restored redox homeostasis and reversed vulnerability to depression. This mechanism was confirmed in Nrf2-null mice. The mice displayed high levels of oxidative stress and were inherently vulnerable to depression, but this phenotype was reversed by treatment with antioxidants. Our data reveal a novel role for BDNF in controlling redox homeostasis and provide a mechanistic explanation for post-stress vulnerability to depression while suggesting ways to reverse it. Because numerous enzymatic reactions produce reactive oxygen species that must then be cleared, the finding that BDNF controls endogenous redox homeostasis opens new avenues for investigation.