Stress early in life is a known risk factor for the development of affective disorders later in life. Epigenetic mechanisms, such as DNA methylation, may have an important role in mediating that risk. Recent epigenetic research reported on the long-term relationship between traumatic stress in childhood and DNA methylation in adulthood. In this study, we examined the impact of various types of stress (perinatal stress, stressful life events (SLEs) and traumatic youth experiences) on methylation of the glucocorticoid receptor gene ( NR3C1) in the blood of a population sample of 468 adolescents (50.4% female, mean age 16.1 years). Second, we determined whether stress at different ages was associated with higher NR3C1 methylation. NR3C1 methylation rates were higher after exposure to SLEs and after exposure to traumatic youth experiences. NR3C1 methylation in adolescence was not higher after exposure to perinatal stress. Experience of SLEs in adolescence was associated with a higher NR3C1 methylation, independently of childhood SLEs. We demonstrate that not only traumatic youth experiences but also (more common) SLEs are associated with higher NR3C1 methylation. In addition, our findings underline the relevance of adolescent stress for epigenetic changes in the NR3C1 gene.