Major depressive disorder (MDD) is a chronic, generally episodic and debilitating disease that affects an estimated 300 million people worldwide, but its pathogenesis is poorly understood. The heritability estimate of MDD is 30-40%, suggesting that genetics alone do not account for most of the risk of major depression. Another factor known to associate with MDD involves environmental stressors such as childhood adversity and recent life stress. Recent studies have emerged to show that the biological impact of environmental factors in MDD and other stress-related disorders is mediated by a variety of epigenetic modifications. These epigenetic modification alterations contribute to abnormal neuroendocrine responses, neuroplasticity impairment, neurotransmission and neuroglia dysfunction, which are involved in the pathophysiology of MDD. Furthermore, epigenetic marks have been associated with the diagnosis and treatment of MDD. The evaluation of epigenetic modifications holds promise for further understanding of the heterogeneous etiology and complex phenotypes of MDD, and may identify new therapeutic targets. Here, we review preclinical and clinical epigenetic findings, including DNA methylation, histone modification, noncoding RNA, RNA modification, and chromatin remodeling factor in MDD. In addition, we elaborate on the contribution of these epigenetic mechanisms to the pathological trait variability in depression and discuss how such mechanisms can be exploited for therapeutic purposes.