Both genes and nonshared environment contribute heavily to the etiology of major depressive disorders. However, candidate gene and genome-wide association studies have produced variable results. This variability may have arisen from uncontrolled environmental factors, small samples in early studies, gene–gene interactions, population stratification, LINES, SINES, non-coding RNAs, SNPs, CNVs, epigenetic phenomena, rare variation, and phenotypic and allelic heterogeneity. Advanced molecular techniques and powerful computational algorithms have brought us nearer to understanding depression. In this chapter, we will present some of these techniques and the tantalizing insights that are emerging to shine light on major depressive disorder (MDD).