The exposome represents the totality of environmental effects, but systematic evaluation between it and depressive symptoms is scant. Here we sought to comprehensively identify the association of the exposome with depressive symptoms in late adolescence and early adulthood and determine genetic and environmental covariances between them. Based on the FinnTwin12 cohort (3,025 participants in young adulthood and 4,127 at age 17), the exposome-wide association study (ExWAS) design was used to identify significant exposures from 12 domains. Bivariate Cholesky twin models were fitted to an exposome score and depressive symptoms. In ExWASes, 29 and 46 exposures were significantly associated with depressive symptoms in young adulthood and at age 17, respectively, and familial exposures were the most influential. Twin models indicated considerable genetic and environmental covariances between the exposome score and depressive symptoms with sex differences. The findings underscore the systematic approach of the exposome and the consideration of relevant genetic effects.