Family, twin, and epidemiologic studies have suggested that both genes and environment are important risk factors for the development of major depressive disorder (MDD). In the absence of consistent and strong main genetic effects, numerous studies have supported gene-environment interactions in this disorder. While the impact of negative environmental factors, such as early life stress, traumatic experiences, and negative life events have been established as risk factors, they are not sufficient to predict MDD. This article will review evidence suggesting that genetic variants moderate the effects of adversities on the development of MDD, with a focus on the importance of careful characterization of the stressful life events as well as systemic and molecular mechanisms that potentially mediate these gene-environment interactions.