Psychosocial factors are an important contributor to the aetiology of unipolar depression. This paper reviews the evidence for the contribution of different psychosocial factors and provides an overview of the proposed neurobiological mechanisms underlying the link between psychosocial factors and depression. Implicated psychosocial factors fall into three interrelated groups: life events, socioeconomic status and social support. The life events most strongly linked with depression are bereavement, childhood maltreatment, and disability or medical illness. Others include refugee status, workplace stressors, and obesity. Studies linking low socioeconomic status with depression are conflicting. There is strong evidence for an association between lack of social support and depression. Multiple neurobiological mechanisms linking psychosocial factors to depression have been suggested but evidence remains limited. The current evidence points to increased activity in the hypothalamo-pituitary axis, epigenetic modifications of key genes, and inflammatory processes, but other mechanisms being explored include reduced monoamine concentration, and structural changes to the limbic system, prefrontal cortex, cingulate cortex and hippocampus. There is overlap between these mechanisms.