Depression is a mental disease with increasing prevalence worldwide, which seriously endangers human health with high disability rate and high suicide rate. Epigenetics is an emerging genetic theory in the 21st century. Its main research content is to regulate the process of gene transcription or translation and affect its function and characteristics without changing the DNA sequence. These include DNA methylation, histone modification, chromatin remodeling and non-coding RNA regulation. The nervous system is susceptible to changes in the activity of epigenetic modifiers, and an increasing number of studies have shown that genetics and environment play an important role in the development of depression. This review will focus on the epigenetic mechanisms of depression.