Animal models have been used extensively to investigate neuropsychiatric disorders, such as depression, and their treatment. However, the etiology and pathophysiology of many such disorders are largely unknown, which makes validation of animal models particularly challenging. Further, many diagnostic symptoms are difficult to define, operationalize and quantify, especially in experimental animals such as rats. Thus, rather than attempting to model such complex human syndromes as depression in their entirety, it can be more productive instead to define and model components of the illness that may account for clusters of co-varying symptoms, and that may share common underlying neurobiological mechanisms.In our preclinical investigations of the neural regulatory mechanisms linking stress to depression and anxiety disorders, as well as the mechanisms by which chronic treatment with antidepressant drugs may exert their beneficial effects in these conditions, we have employed a number of behavioral tests in rats to model specific cognitive and anxiety-like components of depression and anxiety disorders. In this paper, we review the procedures for conducting four such behavioral assays: the attentional set-shifting test, the elevated-plus maze, the social interaction test and the shock-probe defensive burying test. The purpose is to serve as a guide to the utility and limitations of these tools, and as an aid in optimizing their use and productivity.