The greatest difficulty in treating cocaine addiction is the enormous rates of relapse, which occur despite immense negative consequences. Relapse risks are even greater in addicts with comorbid depression, perhaps because they use drugs to alleviate depressive symptoms. Only a few preclinical studies have examined this comorbidity, mostly exploring depressive-like effects following drug exposure. We examined rats from two different depression-like models: (a) chronic-mild-stress (CMS), which respond to antidepressant medications and (b) depressed-rat-line (DRL), a genetic model of selective breeding, which is less responsive to antidepressant medications. We tested addictive behaviors in a cocaine self-administration procedure, including the “conflict model,” where drug-seeking and relapse encounter adverse consequences: an electrified grid in front of the drug-delivering lever. Following behavioral testing, we explored a potential association between behavioral outcomes and protein expression of brain-derived neurotrophic factor (BDNF). We found that DRL rats self-administer more cocaine compared with both CMS and controls, while CMS and control groups did not differ significantly. Notably, DRL but not CMS rats, displayed higher rates of relapse than controls, and expressed higher levels of BDNF in the prelimbic cortex (PLC). Potential translation of these results suggest that medication-resistant depressed patients tend to consume more drugs and are more susceptible to relapse. The increase in PLC BDNF levels is consistent with previous rat models of depression, and concomitantly, with its suggested role in promoting cocaine-seeking.