Depression in adults is heritable with about 40 % of the phenotypic variance due to additive genetic effects and the remaining phenotypic variance due to unique (unshared) environmental effects. Common environmental effects shared by family members are rarely found in adults. One possible explanation for this finding is that there is an interaction between genes and the environment which may mask effects of the common environment. To test this hypothesis, we investigated genotype by environment interaction in a large sample of female and male adult twins aged 18–70 years. The anxious depression subscale of the Adult Self Report from the Achenbach System of Empirically Based Assessment (Achenbach and Rescorla in Manual for the ASEBA adult: forms and profiles, 2003) was completed by 13,022 twins who participate in longitudinal studies of the Netherlands Twin Register. In a single group analysis, we found genotype by unique environment interaction, but no genotype by common environment interaction. However, when conditioning on gender, we observed genotype by common environment interaction in men, with larger common environmental variance in men who are genetically less at risk to develop depression. Although the effect size of the interaction is characterized by large uncertainty, the results show that there is at least some variance due to the common environment in adult depression in men.