Animal models have been used extensively to investigate neuropsychiatric disorders, such as depression, and their treatment. However, the aetiology and pathophysiology of many such disorders are largely unknown, which makes validation of animal models particularly challenging. Furthermore, many diagnostic symptoms are difficult to define, operationalise and quantify, especially in experimental animals such as rats. Thus, rather than attempting to model complex human syndromes such as depression in their entirety, it can be more productive to define and model components of the illness that may account for clusters of co‐varying symptoms, and that may share common underlying neurobiological mechanisms. In preclinical investigations of the neural regulatory mechanisms linking stress to depression and anxiety disorders, as well as the mechanisms by which chronic treatment with antidepressant drugs may exert their beneficial effects in these conditions, we have employed a number of behavioural tests in rats to model specific cognitive and anxiety‐like components of depression and anxiety disorders. In the present study, we review the procedures for conducting four such behavioural assays: the attentional set‐shifting test, the elevated‐plus maze, the social interaction test and the shock‐probe defensive burying test. The purpose is to serve as a guide to the utility and limitations of these tools, and as an aid in optimising their use and productivity.