Depression is one of the most prevalent disorders worldwide, with high comorbidity with cardiovascular disease (CVD). Despite significant heritability, robust genetic associations are yet to be identified in depression. Multiple factors are accountable for this, including that genetic studies have not widely considered environmental factors, despite their established association with depression. One such factor is stress, a robust risk factor for depression; many genetic studies have failed to include nurture in their research into depression. The first gene-environment interaction (GxE) study in depression was published in 2003, reporting a significant interaction between a functional polymorphism in the serotonin transporter gene (5-HTTLPR) and recent stressors to predict depression. Many studies aimed to replicate this finding, as well as investigate other candidate genes (i.e., CRHR1, GR, FKBP5, BDNF). Initially, findings appeared not to reach a clear consensus; however, a closer analysis of the literature has shown that there are consistencies when specific methodological aspects are considered (i.e., timing of stressors). While there are some exciting and strongly evidenced findings, GxE research continues to face some significant challenges. This includes recognition of the importance of subtle method differences and also sample size. Samples are relatively small due to the time required to ascertain high-quality environmental data relative to standard genetic association studies, compromising power. Ascertaining large samples must therefore be made a priority in GxE research to enable further discoveries. GxE studies in depression have the potential to inform disease mechanisms that may be relevant to CVD, informing future CVD-depression research.