Stressful events have been identified as a risk factor for depression. Although gene-environment (G × E) interaction in a limited number of candidate genes has been explored, no genome-wide search has been reported. The aim of the present study is to identify genes that influence the association of stressful events with depression. Therefore, we performed a genome-wide G × E interaction analysis in the Japanese population. A genome-wide screen with 320 subjects was performed using the Affymetrix Genome-Wide Human Array 6.0. Stressful life events were assessed using the Social Readjustment Rating Scale (SRRS) and depression symptoms were assessed with self-rating questionnaires using the Center for Epidemiologic Studies Depression (CES-D) scale. The p values for interactions between single nucleotide polymorphisms (SNPs) and stressful events were calculated using the linear regression model adjusted for sex and age. After quality control of genotype data, a total of 534,848 SNPs on autosomal chromosomes were further analyzed. Although none surpassed the level of the genome-wide significance, a marginal significant association of interaction between SRRS and rs10510057 with depression were found (p = 4.5 × 10-8). The SNP is located on 10q26 near Regulators of G-protein signaling 10 (RGS10), which encodes a regulatory molecule involved in stress response. When we investigated a similar G × E interaction between depression (K6 scale) and work-related stress in an independent sample (n = 439), a significant G × E effect on depression was observed (p = 0.015). Our findings suggest that rs10510057, interacting with stressors, may be involved in depression risk. Incorporating G × E interaction into GWAS can contribute to find susceptibility locus that are potentially missed by conventional GWAS.