Despite the fast accumulating evidence for genetic underpinnings of depression, most of these studies taken a static perspective, whereas few studies have examined the dynamic change of genetic effects over development. Moreover, emerging evidences suggest that the genetic effects of depression vary with age. The present study aimed to review the evidence of changing genetic effects on depression over development, and further explored the potential factors which play significant role in dynamically changing system. Both quantitative genetics and molecular genetics studies suggest that the genetic effects of depression vary with age. On the one hand, the heritability of depression changes over development. More specifically, the majority of studies indicated that the heritability of depression increased from childhood to adolescence. To our knowledge, there are only two studies have examined the changes of heritability from youths to adults; however, mixed findings were obtained. It is possible that these studies ignored distinguishing adolescence into different stage. The heritability of depression increased from early adolescence to middle adolescence but decreased thereafter. Similarity, molecular genetics research indicated that the main effects of genes and the gene by environment interactions exhibited age-related changes. The bulk of prior research suggests that early adolescence is a critical stage of development for observing potential changes in genetic effect. However, the change of heritability or genotype is not enough to generalize dynamic genetic effects. Whether genetic factor contribute to change or to stability in depression across time is the other critical question. Multivariate genetic model indicated that stable genetic influences operational at the first time point accounted partly for continuity of depression. More importantly, new emerging genetic effects appear at early or middle adolescence that coincides with increases in depressive symptoms. New genetic influences may explain age-related increases in depression across development. Furthermore, molecular genetics research found that genetic factors influenced the developmental trajectories, including normative and heterogeneous developmental trajectories. We reviewed the potential mechanism that account for dynamic genetic effect. It is possible that hormone and neurobiological protein changes in different critical maturational periods may alter gene expression or function related to depression, and thereby contributed to the change of genetic effect. Research has demonstrated that changes in environment may alter epigenetic modifications, and as a result, different phenotypes can be generated from a single genotype through the lifespan. Moreover, cascade models may explain the pathways by which genetic effects changes over time to shape development through processes of multilevel dynamics. Previous studies have highlighted the value in taking a dynamic perspective in investigating genetic effects on depression; future research should employ longitudinal design spanning a wide age range to reveal the developmental changes of the effect of genetic variants and their interactions with environment on depression. Exploring underlying mechanism and gender differences in genetic changes by including brain function, hormone, neurobiological protein and epigenetic indexes remain an important direction for future research.