Depression results from the interplay of vulnerability genes with environmental factors, a phenomenon named as ‘gene-environment (GxE) interaction’. To date, GxE interaction studies have been limited to hypothesis-based candidate genes, since genome-wide (GWAS)-based GxE interaction studies would require enormous datasets with genetics, environmental and clinical variables. We used a novel, cross-species and cross-tissues “omics” approaches to identify genes predicting depression in response to stress in GxE interactions. We integrated the transcriptome and miRNome profiles from the hippocampus of adult rats exposed to prenatal stress (PNS) with transcriptome data obtained from blood mRNA of adult humans exposed to early life trauma, using a stringent statistical analyses pathway. Network analysis of the integrated gene lists identified the Forkhead box protein O1 (FOXO1), Alpha-2-Macroglobulin (A2 M) and Transforming Growth Factor Beta 1 (TGFB1) as candidates to be tested for GxE interactions, in two GWAS samples of adults either with a range of childhood traumatic experiences (Grady Study Project, Atlanta, USA) or with childhood emotional abuse only (Helsinki Birth Cohort Study, Finland). Six FOXO1 SNPs showed significant GxE interactions with emotional abuse in the Grady Study that survived stringent permutation analyses and were all replicated in the Helsinki study. In addition, other SNPs in all the three genes showed significant GxE interactions with emotional, physical and sexual abuse in the Grady Study. We therefore provide a successful ‘hypothesis-free’ approach for the identification and prioritization of candidate genes for GxE interaction studies that can be investigated in GWAS datasets.