Brain lipids contain a high proportion of polyunsaturated fatty acids (PUFA), which are a main component of cell membranes. Omega-3 (omega-3) PUFA eicosapentaeoic acid (EPA) and docosahexaenoic acid (DHA) are the most common PUFA in the brain. The physiological roles of omega-3 PUFA in the brain include regulation of cell membrane fluidity, dopaminergic and serotoninergic transmission, membrane-bound enzymes and cellular signal transduction. They are also thought to play a role in brain glucose metabolism, eicosanoid synthesis, gene expression, cell growth and protection from apoptosis. Increasing evidence from animal and human research shows omega-3 PUFA depletion may play an etiological role in several inflammatory, autoimmune and neuropsychiatric disorders. In particular, an association between omega-3 PUFA and depression was repeatedly suggested in observational and experimental studies on populations affected by major depression, depressed mood or post-partum depression. Consistently, the potential therapeutic role of omega-3 PUFA dietary supplementation was tested in clinical trials on depression. The current review identifies and evaluates available epidemiological evidence of a negative relationship between omega-3 PUFA and depression and examines its biological plausibility. Although current evidence increasingly supports an inverse association between omega-3 PUFA and depression, the validity of findings from observational and experimental research is limited by several methodological issues. Further studies with larger sample sizes and more sophisticated design are required to provide convincing evidence of a causal relationship between omega-3 PUFA and depression.