Major depressive disorder (MDD) is a highly heterogeneous psychiatric disorder. The pathogenesis of MDD remained unclear, and it may be associated with exposure to different stressors. Most previous studies have focused on molecular changes in a single stress-induced depression model, which limited the identification of the pathogenesis of MDD. The depressive-like behaviors were induced by four well-validated stress models in rats, including chronic unpredictable mild stress, learned helplessness stress, chronic restraint stress and social defeat stress. We applied proteomic and metabolomic to investigate molecular changes in the hippocampus of those four models and revealed 529 proteins and 98 metabolites. Ingenuity Pathways Analysis (IPA) and Kyoto Encyclopedia of Genes and Genomes (KEGG) analysis identified differentially regulated canonical pathways, and then we presented a schematic model that simulates AKT and MAPK signaling pathways network and their interactions and revealed the cascade reactions. Further, the western blot confirmed that p-AKT, p-ERK12, GluA1, p-MEK1, p-MEK2, p-P38, Syn1, and TrkB, which were changed in at least one depression model. Importantly, p-AKT, p-ERK12, p-MEK1 and p-P38 were identified as common alterations in four depression models. The molecular level changes caused by different stressors may be dramatically different, and even opposite, between four depression models. However, the different molecular alterations converge on a common AKT and MAPK molecular pathway. Further studies of these pathways could contribute to a better understanding of the pathogenesis of depression, with the ultimate goal of helping to develop or select more effective treatment strategies for MDD.