Major depression (MD) is a major health problem, partly due to the incomplete understanding of the pathogenic mechanisms of the disease. Research efforts have mainly focused on alterations in monoaminergic neurotransmission, especially in relation to the serotonergic system, due to its key role in the regulation of mood and related biological functions. Given the high heritability of MD (estimated between 31% and 42% for unipolar depression), genes coding for key regulators of the serotonergic neurotransmission have been considered as optimal candidates. The present review is focused on the role of genes coding for serotonin receptors in MD pathogenesis, since the serotonin transporter and enzymes involved in serotonin metabolism have been reviewed elsewhere. Despite the large number of candidate gene studies focusing on genes coding for serotonin receptors, results have been inconsistent. The most replicated findings are the associations between rs6295 (HTR1A gene) G allele or G/G genotype and rs6311 (HTR2A gene) A allele or A/A genotype and MD or depressive symptoms. Preclinical and imaging/post-mortem studies in humans provide strong support for the involvement of HTR1A and HTR2A genes in MD. Nevertheless, the inconsistency across previous studies clearly suggests that innovative approaches should be designed in order to overcome the limitations of candidate gene studies. To date, the most appealing methodologies seem to be full exome or genome sequencing, genome-wide pathway analyses, endophenotypes, and epigenetic biomarkers. The reported tools may assist in the detection of multiple-loci models, which could potentially explain the high percentage of MD susceptibility ascribed to genetic factors.