Source? Wikipedia says:
>A central point of debate on GWA studies has been that most of the SNP variations found by GWA studies are associated with only a small increased risk of the disease, and have only a small predictive value. The median odds ratio is 1.33 per risk-SNP, with only a few showing odds ratios above 3.0.[1][46] These magnitudes are considered small because they do not explain much of the heritable variation. This heritable variation is estimated from heritability studies based on monozygotic twins.[47] For example, it is known that 40% of variance in depression can be explained by hereditary differences, but GWA studies only account for a minority of this variance.[47]
which admittedly isn't airtight proof for "depression is 100% genetic!!1", but isn't exactly "just aren't finding anything" either.