Many clinical and research efforts aim to develop antidepressant drugs for those suffering from major depressive disorder (MDD). Yet even today, the available treatments are suboptimal and unpredictable, with a significant proportion of patients enduring multiple drug attempts and adverse side effects before a successful response; and for many patients, no response at all. Thus, a clearer understanding of the mechanisms underlying MDD is necessary. In the “Brain Development and Disease” class of our Master’s program in Cognitive Sciences, we ask students to collect data about the expression of a gene whose altered expression and/or function is related to a brain disorder. The students’ final exam assignment consists of writing a research article in which the collected data are discussed in relation to the relevant disorder. In the course of one of these assignments, we identified the FKBP5 gene as a key player uniting two major hypotheses of MDD pathogenesis and treatment response. FKBP5 controls biological processes including immunoregulation and glucocorticoid function, both of which are separately implicated in the development and prognosis of MDD. Gene expression analyses from the human, non-human primate, and mouse Allen Brain Atlases revealed that FKBP5 is expressed in brain regions involved in MDD, particularly at ages susceptible to early-life stressors. Data re-analysis from published studies confirmed that FKBP5 expression is upregulated in relevant brain regions in human MDD and preclinical mouse models of MDD. Our experience shows that classes engaging students in data collection and analysis projects may effectively result in novel data-driven hypotheses.