Major depressive disorder (MDD) has been associated with the stress response in the brain, which is controlled by the hypothalamic-pituitary-adrenal (HPA) axis. This HPA negative feedback mechanism acts via the activation of glucocorticoid receptor, which is encoded by the NR3C1 gene. The methylation status at the promoter of NR3C1 has been correlated with traumatic experiences in early life, which develop into mental disorder. The aim of this study was to examine the potential associations between the methylation status of NR3C1 promoter, gene expression, blood plasma cortisol levels, and adulthood MDD. The study was conducted with 29 MDD patients (9 males, 20 females) and 33 normal individuals (7 males, 26 females). Bisulfite pyrosequencing on 7 CpG dinucleotides in the region showed significantly higher methylation levels at the CpG7 in MDD patients. When separated by gender, the methylation levels differed significantly in females, but not in males. No significant differences between NR3C1 gene expression level and plasma cortisol levels of MDD patients and normal controls were observed. These data suggest that higher levels of methylation at the NR3C1 promoter may be associated with MDD in a gender-specific manner.