Depression and anxiety disorders are prevalent stress-related neuropsychiatric disorders and involve multiple molecular changes and dysfunctions across various brain regions. However, the specific and shared pathophysiological mechanisms occurring in these regions remain unclear. Previous research used a rat model of chronic mild stress (CMS) to segregate and identify depression-susceptible, anxiety-susceptible, and insusceptible groups; then the proteomes of six distinct brain regions (the hippocampus, prefrontal cortex, hypothalamus, pituitary, olfactory bulb, and striatum) were separately and quantitatively analyzed. To gain a comprehensive and systematic understanding of the molecular abnormalities, this study aimed to investigate and compare differential proteomics data from the six regions. Differentially expressed proteins (DEPs) were identified in between specific regions and across all regions and subjected to a series of bioinformatics analyses. Regional comparisons showed that stress-induced proteomic changes and corresponding gene ontology and pathway enrichments were largely distinct, attributable to differences in cell populations, protein compositions, and brain functions of these areas. Additionally, a notable degree of overlap in the significantly enriched terms was identified, potentially suggesting strong connections in the enrichment across different regions. Furthermore, intra-regional and inter-regional protein–protein interaction networks and drug-target-DEP networks were constructed. Integrated analysis of the three association networks in the six regions, along with the DisGeNET database, identified ten DEPs as potential targets for anti-depression/anxiety drugs. Collectively, these findings revealed commonalities and differences across different brain regions at the protein level induced by CMS, and identified several novel protein targets for the development of new therapeutics for depression and anxiety.