There is a strong etiological link between brain-derived neurotrophic factor and depression, but the neurocellular mechanisms and gene–environment interactions remain obscure. This study investigated whether one functional polymorphism in the brain-derived neurotrophic factor gene (BDNF Val66Met) modulates the influence of stressful life events on adolescent depressive symptoms. A total of 780 pairs of ethnic Han Chinese adolescent twins, 11–17 years of age, were randomly assigned to one of two subgroups (twin1 and twin2). All subjects were genotyped as Val/Val, Val/Met or Met/Met, and assessed for depressive symptoms using the Children's Depression Inventory. The level of environmental stress was estimated by the frequency of stressful life events using the Life Events Checklist. The frequency of stressful life events was significantly correlated with depressive symptoms (twin1: β = 0.21, P = 0.01; twin2: β = 0.27, P < 0.01), but there was no significant main effect of the BDNF Val66Met genotype on depressive symptoms. In both subgroups, however, the interaction between the BDNF Val66Met genotype and stressful life event frequency was significant (twin1: β = 0.19, P = 0.01; twin2: β = 0.15, P = 0.04); individuals with one or two Val alleles demonstrated a greater susceptibility to both the detrimental effects of higher stress and the beneficial effects of lower stress compared to the Met/Met genotype. These findings support the ‘differential-susceptibility’ hypothesis, whereby the BDNF Val allele modulates the influence of environmental stress on depression by enhancing the neuroplastic response to all life events.