The present article provides an up-to-date review summarizing almost 18 years of research in genetically selected Marchigian Sardinian alcohol-preferring (msP) rats. The results of this work demonstrate that msP rats have natural preference for ethanol characterized by a spontaneous binge-type of drinking that leads to pharmacologically significant blood ethanol levels. This rat line is highly vulnerable to relapse and presentation of stimuli predictive of alcohol availability or foot-shock stress can reinstate extinguished drug-seeking up to 8 months from the last alcohol experience. The msP rat is highly sensitive to stress, shows an anxious phenotype and has depressive-like symptoms that recover following ethanol drinking. Interestingly, these animals have an up-regulated corticotrophin releasing factor (CRF) receptor 1 system. Clinical studies have shown that alcoholic patients often drink ethanol in the attempt to self-medicate from negative affective states and to search for anxiety relief. We propose that msP rats represent an animal model that largely mimics the human alcoholic population that due to poor ability to engage in stress-coping strategies drink ethanol as a tension relief strategy and for self-medication purposes.