Depression is the most common mental illness in the U.S. affecting nearly 40 million adults age 18 years and older. Depression has both genetic and environmental influences. In addition, women are more likely to be affected by depression than men. However, the relationship between genes and depression is complex and may be influenced by sex. Understanding the genetic basis of sex-specific differences for depression has the potential to lead to new biological understanding of the etiology of depression in females compared to males and to promote the development of novel and more effective pharmacotherapies. This review examines the role of sex in genetic associations with depression for both genome-wide association and candidate gene studies. While the genetic association signals of depression differ by sex, the role of sex in the heritability of depression is complex and warrants further investigation.