The hypothalamo-pituitary-adrenal (HPA) axis is hyperactive in major depressive disorder (MDD), and baseline cortisol levels are usually elevated in MDD patients, with alterations of the circadian hormone secretion pattern. The dexamethasone (DEX) suppression test (DST) has been extensively applied to diagnose a dysregulation of the HPA axis in MDD, but it has only a limited sensitivity to, and specificity for, depression. The DEX/CRH test, which combines the DST with a corticotropin-releasing hormone (CRH) challenge, has proved more reliable to show HPA axis dysfunction in MDD. We have applied these two tests to a putative model of vulnerability to depression in rodents, the Roman high-(RHA) and low-(RLA) Avoidance rat lines. As compared to RHA, RLA rats are behaviorally inhibited, they show an exaggerated response of the HPA axis to stress, and are more prone to develop depressive-like features when exposed to chronic stress. Our results show that (a) there were no significant differences in circadian plasma corticosterone (CORT) levels and/or secretion patterns between the two lines; (b) in the DST test, CORT was suppressed to the same extent in RHA and RLA rats; and c) in the DEX/CRH test, areas-under-the-curve (AUCs) and CORT delta (peak minus baseline) responses were significantly larger in RLA rats. One possible interpretation of these data is that an increased response to CRH could be a trait marker (or endophenotype) for depression, whereas alterations of circadian glucocorticoid secretion patterns and non-suppression of the daily glucocorticoid rise by dexamethasone could be state markers, i.e. features that are only present during depressive episodes.