Depression risk is exacerbated by genetic factors and stress exposure; however, the biological mechanisms through which these factors interact to confer depression risk are poorly understood. One putative biological mechanism implicates variability in the ability of cortisol, released in response to stress, to trigger a cascade of adaptive genomic and non-genomic processes through glucocorticoid receptor (GR) activation. Here, we demonstrate that common genetic variants in long-range enhancer elements modulate the immediate transcriptional response to GR activation in human blood cells. These functional genetic variants increase risk for depression and co-heritable psychiatric disorders. Moreover, these risk variants are associated with inappropriate amygdala reactivity, a transdiagnostic psychiatric endophenotype and an important stress hormone response trigger. Network modeling and animal experiments suggest that these genetic differences in GR-induced transcriptional activation may mediate the risk for depression and other psychiatric disorders by altering a network of functionally related stress-sensitive genes in blood and brain.