Etiology of depressive disorders is still unknown. Several factors are involved in its pathophysiology such as neurotransmitters and neuroendocrine alterations, genetics, life events and their appraisal. Some of these components are strictly linked. Subjects with a family member affected by mood disorders are more prone to suffer from depressive disorders. It is also true that receiving feedbacks of indifference or neglect during childhood from one parent who suffer from depression may represent a factor of vulnerability. Indeed, reaction to a specific negative event may determine an increased allostasis which lead to a depressive episode. Thus, a psychological cause does not exclude a neurobiological cascade. Whereas in other cases recurrent depressive episodes appear in absence of any negative life event. This review provides a set of data regarding the current etiopathogenesis models of depression, with a particular attention to the neurobiological correlates and vulnerability factors.