Stress is the most important proximal precipitant of depression, yet most large genome-wide association studies (GWAS) do not include stress as a variable. Here, we review how gene × environment (G × E) interaction might impede the discovery of genetic factors, discuss two examples of G × E interaction in depression and addiction, studies incorporating high-stress environments, as well as upcoming waves of genome-wide environment interaction studies (GWEIS). We discuss recent studies which have shown that genetic distributions can be affected by social factors such as migrations and socioeconomic background. These distinctions are not just academic but have practical consequences. Owing to interaction with the environment, genetic predispositions to depression should not be viewed as unmodifiable destiny. Patients may genetically differ not just in their response to drugs, as in the now well-recognised field of pharmacogenetics, but also in how they react to stressful environments and how they are affected by behavioural therapies.