Depression and anxiety are widely prevalent disabling psychiatric disorders. Stressful experiences can contribute to the development and pathogenesis of these disorders. However, current antidepressants still show a delayed onset of action and lack of efficacy. Hence, a deeper understanding of the molecular and cellular mechanisms involved in the pathophysiology of these disorders, as well as the action of antidepressants, may provide further insight into the development of novel fast-acting and more effective therapies. The sub granular zone of the hippocampal dentate gyrus is one of the regions where adult neurogenesis occurs in mammals, including humans, and is well known for its involvement in emotion and stress responses. Adult hippocampal neurogenesis decreases due to stress and increases by the chronic usage of antidepressants, the change in adult hippocampal neurogenesis is involved in the stress-related pathophysiology of depression and anxiety disorders and plays a role in the activity of antidepressants and anxiolytics. The Bone Morphogenetic Protein (BMP) signalling pathway in the hippocampus is a key regulator of adult hippocampal neurogenesis, and affects hippocampal function. Herein, we aimed to summarize the current literature on the involvement of the hippocampal BMP signalling pathway in adult neurogenesis, and the pathophysiology and treatment of depression and anxiety.