Epigenetic mechanisms such as DNA methylation (DNAm) have been associated with stress responses and increased vulnerability to depression. Abnormal DNAm is observed in stressed animals and depressed individuals. Antidepressant treatment modulates DNAm levels and regulates gene expression in diverse tissues, including the brain and the blood. Therefore, DNAm could be a potential therapeutic target in depression. Here, we reviewed the current knowledge about the involvement of DNAm in the behavioral and molecular changes associated with stress exposure and depression. We also evaluated the possible use of DNAm changes as biomarkers of depression. Finally, we discussed our current knowledge limitations and future perspectives.