Gene-environment interaction (G × E) is likely an important influence shaping individual differences in alcohol misuse (AM), yet it has not been extensively studied in molecular genetic research. In this study, we use a series of genome-wide gene-environment interaction (GWEIS) and in silico annotation methods with the aim of improving gene identification and biological understanding of AM. We carried out GWEIS for four AM phenotypes in the large UK Biobank sample (N = 360,314), with trauma exposure and socioeconomic status (SES) as moderators of the genetic effects. Exploratory analyses compared stratified genome-wide association (GWAS) and GWEIS modeling approaches. We applied functional annotation, gene- and gene-set enrichment, and polygenic score analyses to interpret the GWEIS results. GWEIS models showed few genetic variants with significant interaction effects across gene-environment pairs. Enrichment analyses identified moderation by SES of the genes NOXA1, DLGAP1, and UBE2L3 on drinking quantity and the gene IFIT1B on drinking frequency. Except for DLGAP1, these genes have not previously been linked to AM. The most robust results (GWEIS interaction p = 4.59e-09) were seen for SES moderating the effects of variants linked to immune-related genes on a pattern of drinking with versus without meals. Our results highlight several genes and a potential mechanism of immune system functioning behind the moderating effect of SES on the genetic influences on AM. Although GWEIS seems to be a preferred approach over stratified GWAS, modeling G × E effects at the molecular level remains a challenge even in large samples. Understanding these effects will require substantial effort and more in-depth phenotypic measurement.