Major depressive disorder (MDD) is a debilitating affective syndrome that disproportionally affects women. Despite the known predominance of depression in women, most studies that have investigated the underlying pathogenesis have not employed sex as a factor. Consequently, the mechanisms that contribute to the increased vulnerability of females to depression remain poorly understood. Thus, using the chronic unpredictable stress (CUS) model of depression, we assessed sex differences in MDD pathology at the behavioural, electrophysiological and molecular levels. We first characterized the sex-specific neural oscillatory patterns associated with stress response in brain regions implicated in depression: prefrontal cortex (PFC), cingulate cortex (Cg), nucleus accumbens and hippocampus (HIP). Following stress exposure, stress-resilient females were characterized by increased HIP theta power and cortical gamma power, whereas stress-resilient males exhibited a widespread increase in high gamma coherence. In stress-susceptible animals, we observed a pattern of increased delta and reduced theta power; the changes were restricted to the Cg and HIP in males but occurred globally in females. To elucidate the molecular mechanisms associated with these sex-specific changes in circuit function, a proteomics analysis was performed on the HIP of CUS exposed male and female rats. We demonstrated that the majority of altered proteins induced by stress were distinct to each sex. Unique to female animals was a significant change in EphA2 receptor expression and its associated downstream effector proteins. Indeed, these findings were confirmed in both the HIP and PFC via immunoblotting, with a greater degree of upregulation observed in the PFC. The female-specific role of the EphA2 receptor in depression-like behaviours was subsequently confirmed. Following the infusion of a selective EphA2 receptor peptide ligand agonist into the PFC, only female rats exhibited despair- and anxiety-like behaviours, as well as alterations in low frequency band oscillations that paralleled those induced by CUS exposure. Collectively, our results demonstrate that the molecular mechanisms and neural oscillatory patterns that underly the pathology of depression are sex specific. These findings begin to inform the use of oscillatory patterns as predictive biomarkers of depression and treatment response, as well as identify a potential female-specific molecular target for future antidepressant pharmacotherapies.