Individual response to stress is correlated with neuroticism and is an important predictor of both neuroticism and the onset of major depressive disorder (MDD). Identification of the genetics underpinning individual differences in response to negative events (stress-sensitivity) may improve our understanding of the molecular pathways involved, and its association with stress-related illnesses. We sought to generate a proxy for stress-sensitivity through modelling the interaction between SNP allele and MDD status on neuroticism score in order to identify genetic variants that contribute to the higher neuroticism seen in individuals with a lifetime diagnosis of depression compared to unaffected individuals. Meta-analysis of genome-wide interaction studies (GWIS) in UK Biobank (N = 23,092) and Generation Scotland: Scottish Family Health Study (N = 7,155) identified no genome-wide significance SNP interactions. However, gene-based tests identified a genome-wide significant gene, ZNF366, a negative regulator of glucocorticoid receptor function implicated in alcohol dependence (p = 1.48×10-7; Bonferroni-corrected significance threshold p < 2.79×10-6). Using summary statistics from the stress-sensitivity term of the GWIS, SNP heritability for stress-sensitivity was estimated at 5.0%. In models fitting polygenic risk scores of both MDD and neuroticism derived from independent GWAS, we show that polygenic risk scores derived from the UK Biobank stress-sensitivity GWIS significantly improved the prediction of MDD in Generation Scotland. This study may improve interpretation of larger genome-wide association studies of MDD and other stress-related illnesses, and the understanding of the etiological mechanisms underpinning stress-sensitivity.