Major depressive disorder (MDD) is a heterogeneous and multi-factorial disorder, and the underlying molecular mechanisms remain largely unknown. However, many studies have indicated that the molecular mechanisms underlying depression in response to different stress may differ. After screening, 28-30 rats were included in each model of depression (chronic unpredictable mild stress (CUMS); learned helplessness (LH); chronic restraint stress (CRS); or social defeat (SD)). Non-targeted gas chromatography-mass spectrometry was used to profile the metabolic changes in the hippocampus. As a result, all four models exhibited significant depression-like behavior. A total of 30, 24, 19, and 25 differential metabolites were identified in the CUMS, LH, CRS, and SD models, respectively. Interestingly, the hierarchical clustering results revealed two patterns of metabolic changes that are characteristic of the response to cluster 1 (CUMS, LH) and cluster 2 (CRS, SD) stress, which represent physical and psychological stress, respectively. Bioinformatic analysis suggested that physical stress was mainly associated with lipid metabolism and glutamate metabolism, whereas psychological stress was related to cell signaling, cellular proliferation, and neurodevelopment, suggesting the molecular changes induced by physical and psychological stress were different. Nine shared metabolites were opposite in the directions of change between physical and psychological models, and these metabolites were associated with cellular proliferation and neurodevelopment functions, indicating the response to physical and psychological stress was different in the activation and deactivation of the final common pathway to depression. Our results provide a further understanding of the heterogeneity in the molecular mechanisms of MDD that could facilitate the development of personalized medicine for this disorder.