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Genome-wide association studies (GWAS) have made little progress in identifying variants linked to depression. We hypothesized that examining depressive symptoms and considering gene–environment interaction (GxE) might improve efficiency for gene discovery. We therefore conducted a GWAS and genome-wide by environment interaction study (GWEIS) of depressive symptoms.Using data from the SHARe cohort of the Women's Health Initiative, comprising African Americans (n = 7,179) and Hispanics/Latinas (n = 3,138), we examined genetic main effects and GxE with stressful life events and social support. We also conducted a heritability analysis using genome-wide complex trait analysis (GCTA). Replication was attempted in four independent cohorts.No SNPs achieved genome-wide significance for main effects in either discovery sample. The top signals in African Americans were rs73531535 (located 20 kb from GPR139, P = 5.75 × 10−8) and rs75407252 (intronic to CACNA2D3, P = 6.99 × 10−7). In Hispanics/Latinas, the top signals were rs2532087 (located 27 kb from CD38, P = 2.44 × 10−7) and rs4542757 (intronic to DCC, P = 7.31 × 10−7). In the GEWIS with stressful life events, one interaction signal was genome-wide significant in African Americans (rs4652467; P = 4.10 × 10−10; located 14 kb from CEP350). This interaction was not observed in a smaller replication cohort. Although heritability estimates for depressive symptoms and stressful life events were each less than 10%, they were strongly genetically correlated (rG = 0.95), suggesting that common variation underlying self-reported depressive symptoms and stressful life event exposure, though modest on their own, were highly overlapping in this sample.Our results underscore the need for larger samples, more GEWIS, and greater investigation into genetic and environmental determinants of depressive symptoms in minorities.