Previous research supports gene–environment interactions for polymorphisms in the corticotropin hormone receptor 1 gene (CRHR1) and the serotonin transporter gene linked polymorphic region (5-HTTLPR) in predicting depression, but it has rarely considered genetic influences on stress sensitization processes, whereby early adversities (EA) increase depressive reactivity to proximal stressors later in life. The current study tested a gene–environment–environment interaction (G × E × E; specifically, gene–EA–proximal stress interaction) model of depression in a 20-year longitudinal study. Participants were assessed prospectively for EA up to age 5 and recent chronic stress and depressive symptoms at age 20 and genotyped for CRHR1 single nucleotide polymorphism rs110402 and 5-HTTLPR. EA predicted stronger associations between recent chronic stress and depression, and the effect was moderated by genes. CRHR1 A alleles and 5-HTTLPR short alleles were associated with greater stress sensitization (i.e., greater depressive reactivity to chronic stress for those also exposed to high levels of EA). The results are consistent with the notion that EA exposure results in neurobiological and cognitive–emotional consequences (e.g., altered hypothalamic–pituitary–adrenal axis functioning), leading to emotional distress in the face of recent stressors among those with certain genetic characteristics, although further research is needed to explore explanatory mechanisms.