Epigenetic modifications control chromatin structure and function, and thus mediate changes in gene expression, ultimately influencing protein levels. Recent research indicates that environmental events can induce epigenetic changes and, by this, contribute to long-term changes in neural circuits and endocrine systems associated with altered risk for stress-related psychiatric disorders such as major depression. In this review, we describe recent approaches investigating epigenetic modifications associated with altered risk for major depression or response to antidepressant drugs, both on the candidate gene levels as well as the genome-wide level. In this review we focus on DNA methylation, as this is the most investigated epigenetic change in depression research.