Background We test the hypothesis that the functional Val66Met polymorphism of BDNF interacts with recent life events to produce onset of new depressive episodes. We also explore the possibility that the Met allele of this polymorphism interacts with childhood maltreatment to increase the risk of chronic depression. Methods In a risk‐enriched combined sample of unrelated women, childhood maltreatment and current life events were measured with the Childhood Experience of Care and Abuse, and Life Events and Difficulties Schedule interviews. Chronic episodes of depression (12 months or longer) during adulthood and onset of a major depressive episode during a 12‐month follow‐up were established with the Schedules for Clinical Assessment in Neuropsychiatry interview. Results Met alleles of BDNF moderated the relationship between recent life events and adult onsets of depression in a significant gene–environment interaction (interaction risk difference 0.216, 95% CI 0.090–0.342; P =.0008). BDNF did not significantly influence the effect of childhood maltreatment on chronic depression in the present sample. Conclusions The Met allele of BDNF increases the risk of a new depressive episode following a severe life event. The BDNF and the serotonin transporter gene length polymorphism (5‐HTTLPR) and BDNF may contribute to depression through distinct mechanisms involving interactions with childhood and adulthood adversity respectively, which may, in combination, be responsible for a substantial proportion of depression burden in the general population.