Brain-derived neurotrophic factor (BDNF) is an important neurotrophin involved in an integration of the brain activity in physiological and pathological conditions, with formation of a short- and long-term functional and structural neuroplasticity. This process proceeds, with a changeable dynamics, in the subsequent stages of ontogenesis. In addition to many other functions in the central nervous system, BDNF is also involved in shaping a response to stress stimuli in the form of precisely adjusted behavioural reactions involving the limbic system, and the endocrine system with stimulation of the hypothalamic-pituitary-adrenal axis (HPA). Although almost every stressor increases the activity of the HPA, the neuronal response to it can vary substantially. This may be due to involvement of different neurotransmitter pathways, neuromodulators and neurohormones, as well as changes in gene expression. It is widely accepted that BDNF synthesis and secretion are modulated by stress. Furthermore, age is an important factor influencing the BDNF expression in response to different stressors. In this work, we focused on the analysis of the role of mild stressful stimuli, which commonly occur in the natural environment, on changes in BDNF expression at various stages of ontogenetic development. Although, the presented data comes from animal studies, probably similar mechanisms of stress regulation are also present in humans. This comprehensive review shows that the influence of stressors on the BDNF expression depends on many factors, including a type and duration of a stressor, time of neurotrophin detection, animal’s resistance to stress, brain area, and genotypic characteristics of an individual. A more detailed understanding of the mechanisms shaping stress reactions, including the role of BDNF, may be of both theoretical and practical importance, allowing designing more effective strategies for preventing and treating stress itself and the stress-related disorders.