Childhood adversity is associated with increased risk for onset of depressive episodes. This review will present evidence that allostatic overload of the hypothalamic-pituitary-adrenal axis (HPAA) partially mediates this association. The HPAA is the physiological system that regulates levels of the stress hormone cortisol. First, data from animals and humans has shown that early environmental adversity is associated with long-term dysregulation of the HPAA. This may occur due to permanent epigenetic modification of the glucocorticoid receptor. Second, data from humans has demonstrated that HPAA dysregulation is associated with increased risk of future depression onset in healthy individuals, and pharmacological correction of HPAA dysregulation reduces depressive symptoms. HPAA dysregulation may result in corticoid-mediated abnormalities in neurogenesis in early life and/or neurotoxicity on neural systems that subserve emotion and cognition.