The stress response system is disrupted in individuals with major depressive disorder (MDD) as well as in those at elevated risk for developing MDD. We examined whether DNA methylation (DNAm) levels of CpG sites within HPA-axis genes predict the onset of MDD. Seventy-seven girls, approximately half (n = 37) of whom were at familial risk for MDD, were followed longitudinally. Saliva samples were taken in adolescence (M age = 13.06 years [SD = 1.52]) when participants had no current or past MDD diagnosis. Diagnostic interviews were administered approximately every 18 months until the first onset of MDD or early adulthood (M age of last follow-up = 19.23 years [SD = 2.69]). We quantified DNAm in saliva samples using the Illumina EPIC chip and examined CpG sites within six key HPA-axis genes (NR3C1, NR3C2, CRH, CRHR1, CRHR2, FKBP5) alongside 59 genotypes for tagging SNPs capturing cis genetic variability. DNAm levels within CpG sites in NR3C1, CRH, CRHR1, and CRHR2 were associated with risk for MDD across adolescence and young adulthood. To rule out the possibility that findings were merely due to the contribution of genetic variability, we re-analyzed the data controlling for cis genetic variation within these candidate genes. Importantly, methylation levels in these CpG sites continued to significantly predict the onset of MDD, suggesting that variation in the epigenome, independent of proximal genetic variants, prospectively predicts the onset of MDD. These findings suggest that variation in the HPA axis at the level of the methylome may predict the development of MDD.