The first randomized controlled trial comparing a nutritional intervention with social support in the treatment of major depression found that 32.3% of participants that improved diet quality went into remission compared to 8% or people treated with social support.

The dietary group received information and assistance to improve the quality of their current diets, with a focus on increasing the consumption of vegetables, fruits, whole grains, legumes, fish, lean red meats, olive oil and nuts, while reducing their consumption of sweets, refined cereals, fried food, fast-food, processed meats and sugary drinks.

I also think that the underlying mechanisms causing depression have a lot to do with inflammation, which can result from poor nutrition, emotional/social stress, sedentary lifestyle, poor sleep etc.