Recent discoveries highlight the importance of stochastic epigenetic changes, as indexed by epigenetic outlier DNA methylation signatures, as a valuable tool to understand aberrant cell function and subsequent human pathology. There is evidence of such changes in different complex disorders as diverse as cancer, obesity and, to a lesser extent, depression. The current study was aimed at identifying outlying DNA methylation signatures of depressive psychopathology. Here, genome-wide DNA methylation levels were measured (by means of Illumina Infinium HumanMethylation450 Beadchip) in peripheral blood of thirty-four monozygotic twins informative for depressive psychopathology (lifetime DSM-IV diagnoses). This dataset was explored to identify outlying epigenetic signatures of depression, operationalized as extreme hyper- or hypo-methylation in affected co-twins from discordant pairs that is not observed across the rest of the study sample. After adjusting for blood cell count, there were thirteen CpG sites across which depressed co-twins from the discordant pairs exhibited outlying DNA methylation signatures. None of them exhibited a methylation outlier profile in the concordant and healthy pairs, and some of these loci spanned genes previously associated with neuropsychiatric phenotypes, such as GHSR and KCNQ1. This exploratory study provides preliminary proof-of-concept validation that epigenetic outlier profiles derived from genome-wide DNA methylation data may be related to depression risk.