The recent successful genome-wide association studies (GWASs) for depression have yielded more than 80 replicated loci and brought back the excitement that had evaporated during the years of negative GWAS findings. The identified loci provide anchors to explore their relevance for depression, but this comes with new challenges. Using the watershed model of genotype-phenotype relationships as a conceptual aid and recent genetic findings on other complex phenotypes, we discuss why it took so long and identify seven future challenges. The biggest challenge involves the identification of causal mechanisms since GWAS associations merely flag genomic regions without a direct link to underlying biological function. Furthermore, the genetic association with the index phenotype may also be part of a more extensive causal pathway (e.g., from variant to comorbid condition) or be due to indirect influences via intermediate traits located in the causal pathways to the final outcome. This challenge is highly relevant for depression because even its narrow definition of major depressive disorder captures a heterogeneous set of phenotypes which are often measured by even more broadly defined operational definitions consisting of a few questions (minimal phenotyping). Here, Mendelian randomization and future discovery of additional genetic variants for depression and related phenotypes will be of great help. In addition, reduction of phenotypic heterogeneity may also be worthwhile. Other challenges include detecting rare variants, determining the genetic architecture of depression, closing the "heritability gap", and realizing the potential for personalized treatment. Along the way, we identify pertinent open questions that, when addressed, will advance the field.