There is growing interest in integrating cognitive and genetic models of depression risk. We review two ways in which these models can be meaningfully integrated. First, information-processing biases may represent intermediate phenotypes for specific genetic influences. These genetic influences may represent main effects on specific cognitive processes or may moderate the impact of environmental influences on information-processing biases. Second, cognitive and genetic influences may combine to increase reactivity to environmental stressors, increasing risk for depression in a gene×cognition×environment model of risk. There is now growing support for both of these ways of integrating cognitive and genetic models of depression risk. Specifically, there is support for genetic influences on information-processing biases, particularly the link between 5-HTTLPR and attentional biases, from both genetic association and gene×environment (G×E) studies. There is also initial support for gene×cognition×environment models of risk in which specific genetic influences contribute to increased reactivity to environmental influences. We review this research and discuss important areas of future research, particularly the need for larger samples that allow for a broader examination of genetic and epigenetic influences as well as the combined influence of variability across a number of genes.