Behavioral testing constitutes the primary method to measure the emotional states of nonhuman animals in preclinical research. Emerging as the characteristic tool of the behaviorist school of psychology, behavioral testing of animals, particularly rodents, is employed to understand the complex cognitive and affective symptoms of neuropsychiatric disorders. Following the symptom-based diagnosis model of the DSM, rodent models and tests of depression and anxiety focus on behavioral patterns that resemble the superficial symptoms of these disorders. While these practices provided researchers with a platform to screen novel antidepressant and anxiolytic drug candidates, their construct validity—involving relevant underlying mechanisms—has been questioned. In this review, we present the laboratory procedures used to assess depressive- and anxiety-like behaviors in rats and mice. These include constructs that rely on stress-triggered responses, such as behavioral despair, and those that emerge with nonaversive training, such as cognitive bias. We describe the specific behavioral tests that are used to assess these constructs and discuss the criticisms on their theoretical background. We review specific concerns about the construct validity and translational relevance of individual behavioral tests, outline the limitations of the traditional, symptom-based interpretation, and introduce novel, ethologically relevant frameworks that emphasize simple behavioral patterns. Finally, we explore behavioral monitoring and morphological analysis methods that can be integrated into behavioral testing and discuss how they can enhance the construct validity of these tests.