The high prevalence of depression in adolescents is closely related to the complex genetic environmental interaction. The social cognitive theory of depression shows that depression occurs under the interaction of individual and social environment, and early life stress is an important environmental factor for the occurrence of depression in children and adolescents. The more and more serious early life stress events, the greater the possibility of depression in children and adolescents, and can lurk into adulthood and affect their social cognitive level and coping style. As a key bridge connecting environmental stress and gene expression, epigenetic mechanism can change with the content and level of early life stress events, and eventually trigger depression through the biological effect of epigenetic reprogramming. This paper systematically reviewed the role of early life stress and DNA methylation regulation mechanism in the occurrence of adolescent depression, and discussed the potential mechanism of exercise intervention regulating DNA methylation to improve the depressive symptoms induced by early life stress, in order to provide a theoretical basis for the early diagnosis and targeted intervention of adolescent depression.