Monoamine oxidase A (MAOA) harbours a polymorphic upstream variable-number tandem repeat (u-VNTR). The MAOA-L allele of the u-VNTR leads to decreased gene expression levels in vitro and has been found to increase the risk of conduct disorder in males with childhood adversities. Early-life adversities have been associated with hypermethylation of the glucocorticoid receptor (NR3C1). In this study, we first performed a genetic association analysis of the MAOA u-VNTR using individuals with depression (n = 392) and controls (n = 1276). Next, DNA methylation analyses of MAOA and NR3C1 were performed using saliva samples of depressed and control subgroups. Adult MAOA-L females with childhood adversities were found to have a higher risk of developing depression (p = 0.006) and overall MAOA methylation levels were decreased in depressed females compared to controls (mean depressed, 42% vs. mean controls, 44%; p = 0.04). One specific childhood adversity [early parental death (EPD)] was associated with hypermethylation of NR3C1 close to an NGFI-A binding site (mean EPD, 19% vs. mean non-EPD, 14%; p = 0.005). Regression analysis indicated that this association may be mediated by the MAOA-L allele (adjusted R2 = 0.24, ANOVA: F = 23.48, p < 0.001). Conclusively: (1) depression in females may result from a gene × childhood-adversity interaction and/or a dysregulated epigenetic programming of MAOA; (2) childhood-adversity subtypes may differentially impact DNA methylation at NR3C1; (3) baseline MAOA-genotypic variations may affect the extent of NR3C1 methylation.