Major depressive disorder (MDD) is a debilitating mental illness, and it is considered to be one of the leading causes of disability globally. The etiology of MDD is multifactorial, involving an interplay between biological, psychological, and social factors. Early life represents a critical period for development. Exposure to adverse childhood experiences is a major contributor to the global burden of disease and disability, doubling the risk of developing MDD later in life. Evidence suggests that stressful events experienced during that timeframe play a major role in the emergence of MDD, leading to epigenetic modifications, which might, in turn, influence brain structure, function, and behavior. Neuroplasticity seems to be a primary pathogenetic mechanism of MDD, and, similarly to epigenetic mechanisms, it is particularly sensitive to stress in the early postnatal period. In this review, we will collect and discuss recent studies supporting the role of epigenetics and neuroplasticity in the pathogenesis of MDD, with a focus on early life stress (ELS). We believe that understanding the epigenetic mechanisms by which ELS affects neuroplasticity offers potential pathways for identifying novel therapeutic targets for MDD, ultimately aiming to improve treatment outcomes for this debilitating disorder.