A recent genome‒wide association mega analyses of major depression suggests that major depression is a polygenic and multifactorial disease and that a gene‒environmental interaction plays a pivotal role in its pathophysiology. Recent advances in epigenetics, such as improved methods for the measurement of DNA methylation, and covalent histone modifications, have shed light on the molecular mechanisms by which environmental stimuli affect gene expression in the brain and subsequently alter the cognitive function. Herein, we summarize how recent progress in epigenetics has advanced our understanding of the pathophysiology of major depression, particularly the role of glucocorticoid receptors and brain‒derived neurotrophic factor, including the development of stress vulnerability and resilience, and we discuss the possibility of using epigenetic drugs, such as histone deacetylase inhibitors, for the treatment of major depression.