Major depressive disorder (MDD) is a multifactorial and polygenic disorder, where multiple and partially overlapping sets of susceptibility genes interact each other and with the environment, predisposing individuals to the development of the illness. Thus, MDD results from a complex interplay of vulnerability genes and environmental factors that act cumulatively throughout individual’s lifetime. Among these environmental factors, stressful life experiences, especially those occurring early in life, have been suggested to exert a crucial impact on brain development, leading to permanent functional changes that may contribute to lifelong risk for mental health outcomes. In this review, we will discuss how genetic variants (polymorphisms, SNPs) within genes operating in neurobiological systems that mediate stress response and synaptic plasticity, can impact, by themselves, the vulnerability risk for MDD; we will also consider how this MDD risk can be further modulated when gene × environment interaction is taken into account. Finally, we will discuss the role of epigenetic mechanisms, and in particular of DNA methylation and miRNAs expression changes, in mediating the effect of the stress on the vulnerability risk to develop MDD. Taken together, we aim to underlie the role of genetic and epigenetic processes involved in stress- and neuroplasticity-related biological systems on the development of MDD after exposure to early life stress, thereby building the basis for future research and clinical interventions.