Considerable evidence from various studies suggests a preeminent role for early adverse experiences in the development of psychopathology, especially depression. The most recent studies reviewed herein suggest that early life stressors are associated with an increased risk for mood disorders in adulthood. This review examines the emerging literature on the relationship between stress, hypothalamic-pituitary-adrenal (HPA) axis function, and depression and the role of early life stress as an important risk factor for HPA axis dysregulation. The most consistent findings in the literature show increased activity of the HPA axis in depression associated with hypercortisolemia and reduced inhibitory feedback. Moreover, HPA axis changes appear to be state-dependent, tending to improve upon resolution of the depressive syndrome. Interestingly, persistent HPA hyperactivity has been associated with higher rates of relapse. These studies suggest that an evaluation of the HPA axis during antidepressant treatment may help identify patients who are at a higher risk for relapse. These findings suggest that this dysregulation of the HPA axis is partially attributable to an imbalance between glucocorticoid and mineralocorticoid receptors. Evidence has consistently demonstrated that glucocorticoid receptor function is impaired in major depression, but few studies have assessed the activity of mineralocorticoid receptors in depression. Thus, more studies are needed to elucidate this issue.