Major depressive disorder (MDD) is a leading cause of disability worldwide. Although the etiology and pathophysiology of MDD remain poorly understood, aberrant neuroplasticity mediated by the epigenetic dysregulation of gene expression within the brain, which may occur due to genetic and environmental factors, may increase the risk of this disorder. Evidence has also been reported for sex-related differences in the pathophysiology of MDD, with female patients showing a greater severity of symptoms, higher degree of functional impairment, and more atypical depressive symptoms. Males and females also differ in their responsiveness to antidepressants. These clinical findings suggest that sex-dependent molecular and neural mechanisms may underlie the development of depression and the actions of antidepressant medications. This review discusses recent advances regarding the role of epigenetics in stress and depression. The first section presents a brief introduction of the basic mechanisms of epigenetic regulation, including histone modifications, DNA methylation, and non-coding RNAs. The second section reviews their contributions to neural plasticity, the risk of depression, and resilience against depression, with a particular focus on epigenetic modulators that have causal relationships with stress and depression in both clinical and animal studies. The third section highlights studies exploring sex-dependent epigenetic alterations associated with susceptibility to stress and depression. Finally, we discuss future directions to understand the etiology and pathophysiology of MDD, which would contribute to optimized and personalized therapy.