Objective Depression is associated with various environmental risk factors such as stress, childhood maltreatment experiences, and stressful life events. Current approaches to assess the pathophysiology of depression, such as epigenetics and gene-environment (GxE) interactions, have been widely leveraged to determine plausible markers, genes, and variants for the risk of developing depression. Methods We focus on the most recent developments for genomic research in epigenetics and GxE interactions. Results In this review, we first survey a variety of association studies regarding depression with consideration of GxE interactions. We then illustrate evidence of epigenetic mechanisms such as DNA methylation, microRNAs, and histone modifications to influence depression in terms of animal models and human studies. Finally, we highlight their limitations and future directions. Conclusion In light of emerging technologies in artificial intelligence and machine learning, future research in epigenetics and GxE interactions promises to achieve novel innovations that may lead to disease prevention and future potential therapeutic treatments for depression.