Chronic stressors, during developmental sensitive periods and beyond, contribute to the risk of developing psychiatric conditions, including major depressive disorder (MDD). Epigenetic mechanisms including DNA methylation and histone modifications, at key stress response and neurotrophin genes, are increasingly implicated in mediating this risk. Although the exact mechanisms through which stressful environmental stimuli alter the epigenome are still unclear, research from the learning and memory fields indicates that epigenomic marks can be altered, at least in part, through calcium-dependent signaling cascades in direct response to neuronal activity. In this review, we highlight key findings from the stress, MDD, and learning and memory fields to propose a model where stress regulates downstream cellular functioning through activity-dependent epigenetic changes. Furthermore, we suggest that both typical and novel antidepressant treatments may exert positive influence through similar, activity-dependent pathways.