Prenatal restraint stress (PRS) can induce persisting changes in individual’s development. PRS increases anxiety and depression-like behaviors and induces changes in the hypothalamo–pituitary–adrenal (HPA) axis in adult PRS rats after exposure to stress. Since adaptive capabilities also depend on temporal organization and synchronization with the external environment, we studied the effects of PRS on circadian rhythms, including the sleep–wake cycle, that are parameters altered in depression. Using a restraint stress during gestation, we showed that PRS induced phase advances in hormonal/behavioral circadian rhythms in adult rats, and an increase in the amount of paradoxical sleep, positively correlated to plasma corticosterone levels. Plasma corticosterone levels were also correlated with immobility in the forced swimming test, indicating a depressive-like profile in the PRS rats. We observed comorbidity with anxiety-like profile on PRS rats that was correlated with a reduced release of glutamate in the ventral hippocampus. Pharmacological approaches aimed at modulating glutamate release may represent a novel therapeutic strategy to treat stress-related disorders. Finally, since depressed patients exhibit changes in HPA axis activity and in circadian rhythmicity as well as in the paradoxical sleep regulation, we suggest that PRS could represent an original animal model of depression.