The functioning of the hypothalamic-pituitary-adrenal (HPA) axis and serotonergic (5-HT) system are known to be intertwined with mood. Alterations in these systems are often associated with depression. However, neither are sufficient to cause depression in and of themselves. It is now becoming increasingly clear that the environment plays a crucial role, particularly, the perinatal environment. In this review, we posit that early environmental stress triggers a series of epigenetic mechanisms that adapt the genome and programme the HPA axis and 5-HT system for survival in a harsh environment. We focus on DNA methylation as it is the most stable epigenetic mark. Given that DNA methylation patterns are in large part set within the perinatal period, long-term gene expression programming by DNA methylation is especially vulnerable to environmental insults during this period. We discuss specific examples of genes in the 5-HT system (serotonin transporter) and HPA axis (glucocorticoid receptor and arginine vasopressin enhancer) whose DNA methylation state is associated with early life experience and may potentially lead to depression vulnerability. We conclude with a discussion on the relevance of studying epigenetic mechanisms in peripheral tissue as a proxy for those occurring in the human brain and suggest avenues for future research.