Depression is becoming the second biggest killer of mankind after cancer, with an estimated 340 million people worldwide suffering from this disease. Research reports have shown that diet affects depression. This paper reviews the effects of different dietary structures such as high protein diet, vegetarian diet, high-fat diet and ketogenic diet on depression, discusses the effect of nutritional components such as folic acid, dietary fiber, polyphenolic compounds, vitamins and polyunsaturated fatty acids in improving depression, and summarizes the three mechanisms by which dietary structures and nutritional components affect depression: by regulating the metabolism of monoamine neurotransmitters, the digestive tract and the intestinal flora, and neuroendocrine system. This article will provide new inspirations to prevent and interfere in depression through diet.