Over the past 50 years, relationships between stress and the neurobiological changes seen in psychiatric disorders have been well-documented. A major focus of investigations in this area has been the role of the hypothalamic-pituitary-adrenal (HPA) axis, both as a marker of stress response and as a mediator of additional downstream pathophysiologic changes. This review examines the emerging literature concerning the relationship between stress, HPA axis function, and depression, as well as the role of early life stress as an important risk factor for HPA axis dysregulation. The more recent studies reviewed suggest that the prominence of HPA axis hyperactivity in adults with depressive and anxiety disorders may constitute a link between the occurrence of adversity in childhood and the development of adult psychopathology.