An endophenotypic approach in the research of major depression (MDD) has the potential to enlarge our understanding of the neurobiology and genetics of this complex disease. It has been suggested that anhedonia and increased stress sensitivity are two of the most promising endophenotypes for MDD. The aim of this article is to evaluate the validity of this hypothesis, based on the criteria necessary for the identification and validation of endophenotypes: specificity, heritability, state-independence, cosegregation, familial association and biological and clinical plausibility. We conducted a review of the most current findings of anhedonia and increased stress sensitivity in MDD, using a survey of clinical, neurobiological, and genetic studies. Both anhedonia and increased stress sensitivity seem to fulfil the criteria for a valid endophenotype in the discussed literature. However, increased stress sensitivity is less specific for MDD and might influence MDD more indirectly, for example via personality or early life events. Recent findings suggest an interaction between the two endophenotypes, hypothesizing that the anhedonia trait combined with stressful life events may result in a vulnerability to MDD.