Long non-coding RNAs (lncRNAs) have recently emerged as one of the critical epigenetic controllers, which participate in several biological functions by regulating gene transcription, mRNA splicing, protein interaction, etc. In a previous study, we reported that lncRNAs may play a role in developing depression pathophysiology. In the present study, we have examined how lncRNAs are co-expressed with gene transcripts and whether specific lncRNA/mRNA modules are associated with stress vulnerability or resiliency to develop depression. Differential regulation of lncRNAs and coding RNAs were determined in hippocampi of three group of rats comprising learned helplessness (LH, depression vulnerable), non-learned helplessness (NLH, depression resilient), and tested controls (TC) using a single-microarray-based platform. Weighted gene co-expression network analysis (WGCNA) was conducted to correlate the expression status of protein-coding transcripts with lncRNAs. The associated co-expression modules, hub genes, and biological functions were analyzed. We found signature co-expression networks as well as modules that underlie normal as well as aberrant response to stress. We also identified specific hub and driver genes associated with vulnerability and resilience to develop depression. Altogether, our study provides evidence that lncRNA associated complex trait-specific networks may play a crucial role in developing depression.