Background Even though traumatic stress is a major risk factor for depression, most people do not develop a depression. The effects of stress may particularly emerge after repeated exposure in vulnerable individuals. Therefore, we hypothesized that (1) increased exposure to stress across the life span is associated with an increased depression risk and (2) this effect is the most pronounced in individuals with high levels of neuroticism. Methods We investigated the effect of childhood maltreatment, major life events, daily hassles, and a composite index thereof (cumulative stress index) on depressive symptoms and major depressive disorder (MDD) including the possible moderating role of neuroticism in a discovery sample from the general population (N = 563) and an independent replication sample from the Netherlands Study of Depression and Anxiety (N = 2,274). Results All stress domains were independently associated with depressive symptoms in the discovery sample. In the replication sample, we confirmed these findings for childhood maltreatment and daily hassles but not for major life events with depressive symptoms as outcome. Nevertheless, all stress domains significantly contributed to the presence of MDD in the replication sample. The cumulative stress index was significantly associated with depression in the discovery (β = 1.42, P < .001) and replication sample (β = 3.79, P < .001), especially in those individuals with high levels of trait neuroticism (discovery: β = 0.013, P < .001; replication: β = 0.367, P < .001). Conclusions This is the first study to show that cumulative stress exposure across different stress domains contributes to depressive symptoms and MDD in adulthood. Moreover, we show that increased exposure to stress across the life span has more impact on vulnerable individuals with high levels of trait neuroticism.