Chronic stress induces dendritic atrophy in the inferior colliculus (IC, auditory mesencephalon) and impairs auditory avoidance conditioning. The aim of this study was to determine in Golgi preparations and in cued fear conditioning whether stress affects other auditory components, like the thalamic medial geniculate nucleus (MG) or the posterior thalamic nucleus (PO), in Sprague–Dawley rats. Chronic restraint stress produced a significant dendritic atrophy in the MG (stress: 407 ± 55 μm; control: 808 ± 120 μm; p < 0.01) but did not affect auditory fear conditioning. The last result was in apparent contrast with the fact that stress impairs both the acquisition of auditory avoidance conditioned responses and the dendritic structure in two major nuclei of the auditory system. In order to analyze this disagreement, we investigated whether the stress-related freezing to tone occurring in the fear conditioning protocol corresponded to a conditioned or an unconditioned fear response, using changes in tone instead of light throughout conditioning trials. Chronic stress significantly enhanced visual fear conditioning in stressed animals compared to controls (stress: 58.9 ± 8.42%, control: 23.31 ± 8.01%; p < 0.05), but this fear enhancement was related to unconditioned fear. Conversely, chronic stress did not affect the morphology of the PO (subserving both auditory and somatosensory information) or the corresponding auditory and somatosensory unconditioned responses (acoustic startle response and escape behavior). Our results suggest that the auditory conditioned stimulus can be processed in part independently of the IC and MG in the stressed animals, and sent to the amygdala via the PO inducing unconditioned fear. Comparable alterations could be produced in major depression.