Depression is a debilitating disorder estimated to become the second cause of morbidity worldwide by the year 2020. The limited efficacy of antidepressant therapy, as well as the major negative consequences of this disorder, has stimulated additional research in order to determine possible adjunctive treatments. There is mounting evidence linking dietary patterns to major depression development. This article presents some of the most significant findings concerning the role of nutrition in major depressive disorder. Although more focused and clear results are needed, the correlation between nutrition and mental health is gaining attention. Now, there is evidence supporting the importance of nutrition in maintaining good mental health. We emphasize multiple findings that support adherence to healthy dietary patterns, taking into account that the production of neurotransmitters need, among others, right amounts of nutrients, a lot of which can only be supplied through diet. Not only certain nutrients are needed for proper brain functioning, but also others can be harmful, promoting depression. The Mediterranean diet has been linked to a low prevalence of depression while fast-food consumption has been found to increase the risk of developing and aggravating this disorder, hence the need for nutritional interventions. From the perspective of discovering modifiable risk factors, the role of nutrition in psychiatry could be more important than it was initially considered.