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Genetic risk for depressive disorders is poorly understood despite consistent suggestions of a high heritable component. Most genetic studies have focused on risk associated with single variants, a strategy which has so far only yielded small (often non-replicable) risks for depressive disorders. In this paper we argue that more substantial risks are likely to emerge from genetic variants acting in synergy within and across larger neurobiological systems (polygenic risk factors). We show how knowledge of major integrated neurobiological systems provides a robust basis for defining and testing theoretically defensible polygenic risk factors. We do this by describing the architecture of the overall stress response. Maladaptation via impaired stress responsiveness is central to the aetiology of depression and anxiety and provides a framework for a systems biology approach to candidate gene selection. We propose principles for identifying genes and gene networks within the neurosystems involved in the stress response and for defining polygenic risk factors based on the neurobiology of stress-related behaviour. We conclude that knowledge of the neurobiology of the stress response system is likely to play a central role in future efforts to improve genetic prediction of depression and related disorders.