Complex illnesses, like depression, are thought to arise from the interplay between psychosocial stressors and genetic predispositions. Approaches that take into account both personal and neighborhood factors and that consider gene regions as well as individual SNPs may be necessary to capture these interactions across race and ethnic groups. We used novel gene-region based analysis methods [Sequence Kernel Association Test (SKAT) and meta-analysis (MetaSKAT), gene-environment set association test (GESAT)], as well as traditional linear models to identify gene region and SNP x psychosocial factor interactions at the individual- and neighborhood-level, across multiple race/ethnicities. Multiple regions identified in SKAT analyses showed evidence of a significant gene-region association with averaged depressive symptom scores across race/ethnicity (MetaSKAT p values < 0.001). One region x neighborhood-environment interaction was significantly associated with averaged depressive symptom score across race/ethnicity after multiple testing correction (chr 18:21454070-21494070, Fisher's combined p value = 0.001). The examination of gene regions jointly with environmental factors measured at multiple levels (individuals and their contexts) may shed light on the etiology of depressive illness across race/ethnicities.