Major depressive disorder (MDD) is a chronic disease whose neurological basis and pathophysiology remain poorly understood. Initially, it was proposed that genetic variations were responsible for the development of this disease. Nevertheless, several studies within the last decade have provided evidence suggesting that environmental factors play an important role in MDD pathophysiology. Alterations in epigenetics mechanism, such as DNA methylation, histone modification and microRNA expression could favor MDD advance in response to stressful experiences and environmental factors. The aim of this review is to describe genetic alterations, and particularly altered epigenetic mechanisms, that could be determinants for MDD progress, and how these alterations may arise as useful screening, diagnosis and treatment monitoring biomarkers of depressive disorders.