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Summary Depression is a clinically heterogenous condition defined by sub-types that can have diametrically opposed features, such as sleep and appetite. Within the same individual these features may change over time, and different symptom clusters may respond selectively to different treatments. It has been hypothesized that different pathophysiological processes may be operating in the different sub-types of depression and specifically that Melancholic depression may be associated with relative overactivity, and Atypical depression with relative hypoactivity, of the hypothalamic drive of the HPA axis. A consistent finding that emerges from the literature is that the experience of depression alters over the course of the illness with the features of Atypical depression dominating a more chronic clinical picture. This suggests that different stress states characterize the different profiles of depression as the illness becomes more chronic. There is evidence that the corticotropin-releasing hormone (CRH) control of HPA axis output is reduced in Atypical, compared to Melancholic, sub-types, but there is no convincing evidence that overall HPA activity, i.e., cortisol output, reduces. We suggest that there is a “switch” in the regulation of the HPA system from CRH to arginine vasopressin (AVP) control as stress becomes more sustained or repeated; resulting in an altered homeostasis within the HPA system. Cortisol, and the neuropeptides CRH and AVP, have different neurobiological, behavioural and experiental effects. The “switch” process should result in different neuropeptide/cortisol combinations and ratios and may explain the changing profile of depression over time. The heuristic merit in making a distinction between the different clinical states of depression will be discussed.