In the last 100 years major depression has increased worldwide. In this study we provided coconut fat (CF, rich in saturated fatty acids) or fish oil (FO, rich in n-3 polyunsaturated fatty acids) to female rats throughout pregnancy and lactation and then to their offspring post-weaning and examined lipid brain profile and the possible effect of FO as antidepressant agent in the offspring in adulthood (F1). Rats were submitted to forced swimming test, elevated plus maze, Morris water maze and open field. Peroxidation rate in the cerebral cortex and hippocampus were measured. Docosahexaenoic acid (DHA) concentration in dam's milk, eicosapentaenoic acid (EPA) and DHA concentration in hippocampus and cerebral cortex from F1 rats FO supplemented increased significantly when compared to control (C) and CF rats. Arachidonic acid/EPA ratio in the cerebral cortex and hippocampus decreased in rats submitted to forced swimming test. Peroxidation rate were not different between the groups. Immobility time in the forced swimming test in FO group was reduced (p < 0.01) when compared to C and CF rats. We conclude that lifelong intake of FO was able to induce an antidepressant effect with EPA and DHA concentration increased in the cerebral cortex and hippocampus.