Depression is a common disorder that affects women at twice the rate of men. Here, we report that long non-coding RNAs (lncRNAs), a recently discovered class of regulatory transcripts, represent about one-third of the differentially expressed genes in the brains of depressed humans and display complex region- and sex-specific patterns of regulation. We identified the primate-specific, neuronal-enriched gene LINC00473 as downregulated in prefrontal cortex (PFC) of depressed females but not males. Using viral-mediated gene transfer to express LINC00473 in adult mouse PFC neurons, we mirrored the human sex-specific phenotype by inducing stress resilience solely in female mice. This sex-specific phenotype was accompanied by changes in synaptic function and gene expression selectively in female mice and, along with studies of human neuron-like cells in culture, implicates LINC00473 as a CREB effector. Together, our studies identify LINC00473 as a female-specific driver of stress resilience that is aberrant in female depression. Issler et al. demonstrate that long non-coding RNAs are robustly regulated in the brains of postmortem depressed humans in a brain site- and sex-specific manner. LINC00473 is highlighted as key regulator of mood in females only, where it acts in prefrontal cortex by regulating gene expression, neurophysiology, and behavior.