Depression is a mental illness that affects the normal lives of over 300 million people. Unfortunately, about 30% to 40% of patients do not adequately respond to pharmacotherapy and other therapies. This review focuses on exploring the relationship between dietary nutrition and depression, aiming to find safer and efficient ingredients to alleviate depression. Diet can affect depression in numerous ways. These pathways include the regulation of tryptophan metabolism, inflammation, hypothalamic–pituitary–adrenal (HPA) axis, microbe–gut–brain axis, brain-derived neurotrophic factor (BDNF) and epigenetics. Furthermore, probiotics, micronutrients, and other active substances exhibit significant antidepressant effects by regulating the above pathways. These provide insights for developing antidepressant foods.