I've been very interested in this for years. I never knew what the right
foods were though. The Paleo thing is the only thing that makes any sense to
me. I haven't stuck with it for any time but I'm determined to do so.

Recent research indicates that nations with the highest fish consumption
have the lowest rates of depression. Conversely, nations with the lowest
fish consumption have the highest rates--as much as 60 times the rates! That
alone is very telling. Also, depressed patients show extremely low levels of
omega-3 fatty acids (found in fish). In addition, recent research around the
world seems to indicate that supplementing depressed patients with fish oil
capsules demonstrate a dramatic improvement in symptoms. Research is
ongoing.

Your brain is made up of 63% fat. You get these fats from essential fatty
acids from your diet. If you're deficient in them (most western people are)
you may very well become stricken with depression.

I think all of the other posts here on the subject seem very helpful.