The role of stress in the origin and development of depression may be conceived as the result of multiple converging factors, including the chronic effect of environmental stressors and the long-lasting effects of stressful experiences during childhood, all of which may induce persistent hyperactivity of the hypothalamic-pituitary-adrenal axis. These changes, including increased availability of corticotropin-releasing factor and cortisol, are also associated with hyperactivity of the amygdala, hypoactivity of the hippocampus, and decreased serotonergic neurotransmission, which together result in increased vulnerability to stress. The role of other monoaminergic neurotransmitters, genetic polymorphisms, epigenetic mechanisms, inflammatory processes, and altered cognitive processing has also been considered in the development of a comprehensive model of the interactions between different factors of vulnerability. Further understanding of the underlying mechanisms that link these factors may contribute significantly to the development of more effective treatments and preventive strategies in the interface between stress and mood disorders.