Major depressive disorder (MDD) is a complex and heterogeneous psychiatric syndrome with genetic and environmental influences. In addition to neuroanatomical and circuit-level disturbances, dysregulation of the brain transcriptome is a key phenotypic signature of MDD. Postmortem brain gene expression data are uniquely valuable resources for identifying this signature and key genomic drivers in human depression; however, the scarcity of brain tissue limits our capacity to observe the dynamic transcriptional landscape of MDD. It is therefore crucial to explore and integrate depression and stress transcriptomic data from numerous, complementary perspectives to construct a richer understanding of the pathophysiology of depression. In this review, we discuss multiple approaches for exploring the brain transcriptome reflecting dynamic stages of MDD: predisposition, onset, and illness. We next highlight bioinformatic approaches for hypothesis-free, genome-wide analyses of genomic and transcriptomic data and their integration. Last, we summarize the findings of recent genetic and transcriptomic studies within this conceptual framework.