Studies have both supported and contested the proposition that lowering plasma cholesterol by diet and medications contributes to depression. Evidence suggests that an imbalance in the ratio of the essential fatty acids (EFAs), namely the n-6 and n-3 fatty acids, and/or a deficiency in n-3 fatty acids, may be responsible for the heightened depressive symptoms associated with low plasma cholesterol. These relationships may explain the inconsistent findings in trials of cholesterol-lowering interventions and depression. Dieting behaviors have similarly been associated with alterations in mood state. This review discusses studies of EFAs and depression and explores the involvement of dieting-related psychological factors as potential confounders.