Major depressive disorder is a genetically complex disease involving several minor, or susceptibility, genes whose expression may be modulated by many environmental factors. From the classical early linkage studies to the complete genome-wide association (GWA) study methodologies, it is evident that it is difficult to understand the genetic bases of this mental disorder. Many studies have identified one or more gene regions whose variability confers a small risk for developing depressive disorder, explaining a small percentage of the total genetic component of disease with low predictive value. Although the results to date are inconclusive, new approaches based on gene-environment interactions and biological pathway analysis (based on GWA studies) open new and promising perspectives in the investigation of the genetic and biological basis of major depression.