Objective: After an intense and repeated stress some rats become vulnerable to depression. This state is characterized by persistent low serum BDNF concentration. Our objective was to determine whether electrophysiological markers can sign vulnerability to depression. Methods: Forty-three Sprague Dawley rats were recorded with supradural electrodes above hippocampus and connected to wireless EEG transmitters. Twenty-nine animals experienced four daily social defeats (SD) followed by 1 month recovery. After SD, 14 rats had persistent low serum BDNF level and were considered as vulnerable (V) while the 15 others were considered as non-vulnerable (NV). EEG signals were analyzed during active waking before SD (Baseline), just after SD (Post-Stress) and 1 month after SD (Recovery). Results: We found that V animals are characterized by higher high θ and α spectral relative powers and lower β2 main peak frequency before SD. These differences are maintained at Post-Stress and Recovery for α spectral relative powers and β2 main peak frequency. Using ROC analysis, we show that low β2 main peak frequency assessed during Baseline is a good predictor of the future state of vulnerability to depression. Conclusion: Given the straightforwardness of EEG recordings, these results open the way to prospective studies in humans aiming to identify population at-risk for depression.