After decades in which diatheses dominated research on the diathesis-stress models of depression, increasing attention to stress and stress-depression mechanisms is in the forefront of efforts to understand depression and treat it effectively. Supplementing research on known risk factors and moderators (such as demographic, cognitive, relational, family, and personality characteristics) of the stress-depression association, much work now focuses on experiences of early life stress, acute stressors, and chronic stress and their developmental features and neurobiological mechanisms relevant to depression. The review briefly highlights the current status of risk factors, HPA axis, neural, and genetic approaches, noting conceptual and methodological challenges.