Major depression is a devastating disorder of which lifetime prevalence rate is as high as up to 25% in general population. Although the etiology of the disorder is still poorly understood, it is generally accepted that both genetic and environmental factors are involved in the precipitation of depression. Stressful lifetime events are potent precipitating environmental factors for major depression and early-life stress is in particular an important element that predisposes individuals to major depression later in life. How environmental factors such as stress can make our neural networks susceptible to depression and how those factors leave long-lasting influences have been among the major questions in the field of depression research. Epigenetic regulations can provide a bridging mechanism between environmental factors and genetic factors so that these two factors can additively determine individual predispositions to major depression. Here we introduce epigenetic regulations as candidate mechanisms that mediate the integration of environmental adversaries with genetic predispositions, which may lead to the development of major depression, and summarize basic molecular events that underlie epigenetic regulations as well as experimental evidences that support the active role of epigenetic regulation in major depression.