Major depressive disorder (MDD) often appears after exposure to acute or chronic stress, and dysfunction of stress response systems, such as the hypothalamic-pituitary-adrenal (HPA) axis, is thought to be a key element of MDD neurobiology. The glucocorticoid receptor (GR) is the most important regulator of the HPA axis negative feedback system, and GR sensitivity has been shown to be reduced in MDD in both in vitro and in vivo studies. Transgenic animals with partial impairment of GR function show behavioral changes consistent with MDD. This makes the GR gene a prime candidate for research into the genetic background of MDD. Several single nucleotide polymorphisms (SNPs) have been detected that have specific effects on GR function, metabolic parameters, and HPA axis function in response to stress. Genetic association studies have yielded preliminary evidence for a role of these genetic variations in the genetic vulnerability for MDD. Taken together, the evidence for a role of GR and the GR gene in the neurobiology of MDD is building rapidly.