The link between environmental exposure and onset of psychopathology has been well documented, yet the pathway is not fully understood. Epigenetic modifications are thought to play a role in the manifestation of disease as studies have shown that early environmental exposures can influence epigenetic variation in both humans and other animals. As a result, epigenetic epidemiology studies with a specific focus on psychopathology will play an important role in elucidating the pathway to disease onset. In order to gain a clear perspective of where this field currently stands, here we provide a brief review of important issues in epigenetic epidemiology studies of psychopathology, including causal inference, common study designs, challenges faced with current study designs, and the importance of a life course perspective. We provide the reader with relevant examples of studies when appropriate, with a particular focus on studies that have examined the epigenetic modification of DNA methylation. Implications for future research are also discussed.