With progress in genome-wide association studies (GWAS) of depression, from identifying zero hits in ~ 16 000 individuals in 2013 to 223 hits in more than a million individuals in 2020, understanding the genetic architecture of this debilitating condition no longer appears to be an impossible task. The pressing question now is whether recently discovered variants describe the etiology of a single disease entity. There are a myriad of ways to measure and operationalize depression severity, and major depressive disorder (MDD) as defined in the DSM-5 can manifest in more than ten thousand ways based on symptom profiles alone. Variations in developmental timing, comorbidity, and environmental contexts across individuals and samples further add to the heterogeneity. With big data increasingly enabling genomic discovery in psychiatry, it is more timely than ever to explicitly disentangle genetic contributions to what is likely 'depressions' rather than depression. Here, we introduce three sources of heterogeneity: operationalization, manifestation, and etiology. We review recent efforts to identify depression subtypes using clinical and data-driven approaches, examine differences in genetic architecture of depression across contexts, and argue that heterogeneity in operationalizations of depression is likely a considerable source of inconsistency. Finally, we offer recommendations and considerations for the field going forward.