The complex nature of depression is mirrored by difficulties in tailoring its treatment. Key underlying mechanisms of this mental disorder include elevated inflammation and a dysregulated hypothalamic-pituitary-adrenal (HPA) axis. More recently, the endocannabinoid system has been proposed as another important component in the pathogenesis of depression, and strong evidence suggests that all three systems communicate with each other. A growing number of genetic studies have investigated polymorphisms in depression in each of these systems separately. However, no study to date has looked at these genes in conjunction. In this article we will review the crosstalk between the endocannabinoid system, immune system and HPA axis; and discuss the evidence of gene polymorphisms and their relation to the risk of depression and its treatment. We propose future directions where genes of these three systems are considered from a joint perspective to improve prediction of treatment response, taking into account potentially overlooked genetic variations.