Depression is one of the most prevalent disorders in the United States, and rates of depression are higher for women than men. Despite their widespread use, drugs used in the treatment of depression are only moderately more effective than placebo in treating the disorder. Effective treatment of perinatal depression is of particular concern as treatment can influence both the mother and the developing child. Omega-3 polyunsaturated fatty acid (n-3 PUFA) supplementation may reduce symptoms of major depressive disorder and perinatal depression. The aim of the present review was to evaluate epidemiological studies examining PUFA intake and depressive symptoms in the general population, as well as double-blind, placebo-controlled trials assessing the influence of n-3 PUFA in healthy individuals and those with depression; specific consideration was given to perinatal depression and potential gender differences in the relationship. Although there is some evidence to suggest that n-3 PUFA intake is associated with reduced depressive symptoms, particularly in females, these results are generally limited to epidemiological studies, whereas results from randomized controlled trials are mixed.