Stress plays an important role in major depressive disorder (MDD) and is one of the state dependent factors in suicidal behavior. A dysfunctional hypothalamic-pituitary-adrenal axis is a common feature in this disorder. The involvement of environmental factors has added additional complexity to understanding depression or suicidal behavior. In this regard, epigenetic regulation has been considered a mechanistic interface between environmental stress stimuli and altered functioning of underlying gene network that may increase susceptibility to depression or suicidal behavior. The present study examined whether epigenetic modifications of stress related genes are associated with MDD and whether there are differences in these epigenetic marks between depressed individuals with and without serious suicidal ideation. Using MeDIP analysis in genomic DNA isolated from peripheral blood mononuclear cells (PBMC) of healthy controls (n = 20), MDD patients with (n = 14) or without serious suicidal ideation (n = 10), we studied methylation of the stress-associated genes, Brain Derived Neurotrophic Factor (BDNF), Nuclear Receptor Subfamily 3 Group C Member 1 (NR3C1), FK506 Binding Protein 5 (FKBP5), Corticotropin Releasing Hormone Binding Protein (CRHBP), and Corticotropin Releasing Hormone Receptor 1 (CRHR1). In addition, we determined their transcript levels in RNAs isolated from the same PBMC. We found that BDNF, FKBP5, CRHBP, and NR3C1 gene promoters were significantly hypermethylated in MDD patients with and without suicidal ideation. We also found concomitant reductions in expression of BDNF, FKBP5 transcript variants (1, 2 and 3), and NR3C1 genes in these patients, suggesting that promoter hypermethylation in these genes may functionally be associated with their observed downregulation in MDD patients. In a secondary analysis, methylation of these genes was compared between MDD patients with or without serious suicidal ideation and controls. The MDD with serious suicidal ideation were significantly different from controls while the MDD without were not, although MDD with or without suicidal ideation were not different from each other, likely owning to a relatively small sample size. Thus, our findings underline the importance of epigenetic modifications of stress-associated genes in depression and, possibly, suicidal behavior, which, in future, needs to be confirmed in a larger patient population.