Although the etiology of major depressive disorder (MDD) is unknown, it is precipitated in susceptible individuals by adverse events. This review examines the role of intrauterine factors resulting from exposure to stress hormones in the increased vulnerability of the organism to MDD. Severe maternal stress or alcohol intake during the second and third trimesters causes excess release of corticotropin releasing hormone (CRH) and cortisol. These hormones reduce birth weight; impair the feedback regulation of the hypothalamic pituitary adrenal axis (HPA) axis and 5-HT1A and 5-HT2A signaling in key brain areas. Similar changes are seen in patients with MDD and in experimental animals after chronic inescapable stress, prenatal stress or alcohol, which also induce depressive-like behavior in rats, alterations in sleep and circadian rhythms reminiscent of those in humans with MDD. Clinical improvement of MDD by antidepressants is accompanied by normalization of the regulation of the HPA axis and of serotoninergic transmission.