Abnormal brain-derived neurotrophic factor (BDNF) signaling seems to have a central role in the course and development of various neurological and psychiatric disorders. In addition, positive effects of psychotropic drugs are known to activate BDNF-mediated signaling. Although the BDNF gene has been associated with several diseases, molecular mechanisms other than functional genetic variations can impact on the regulation of BDNF gene expression and lead to disturbed BDNF signaling and associated pathology. Thus, epigenetic modifications, representing key mechanisms by which environmental factors induce enduring changes in gene expression, are suspected to participate in the onset of various psychiatric disorders. More specifically, various environmental factors, particularly when occurring during development, have been claimed to produce long-lasting epigenetic changes at the BDNF gene, thereby affecting availability and function of the BDNF protein. Such stabile imprints on the BDNF gene might explain, at least in part, the delayed efficacy of treatments as well as the high degree of relapses observed in psychiatric disorders. Moreover, BDNF gene has a complex structure displaying differential exon regulation and usage, suggesting a subcellular- and brain region-specific distribution. As such, developing drugs that modify epigenetic regulation at specific BDNF exons represents a promising strategy for the treatment of psychiatric disorders. Here, we present an overview of the current literature on epigenetic modifications at the BDNF locus in psychiatric disorders and related animal models.