Unipolar depressive disorder (UDD) affects more than 264 million people worldwide and was projected well before the severe acute respiratory syndrome coronavirus 2 pandemic to be the leading cause of disability-adjusted life years lost in 2030. It is imperative for leading economies to implement preventive strategies targeted towards UDD, given consistent policies are currently lacking. Recently established similarities between the aetiological hypotheses of depression and cardiometabolic diseases are shifting paradigms within this field. It is believed that dietary practices could potentially reduce the incidence of depression; similar to their effects on metabolism. Thus, the aim of this review was to compile current evidence on healthy dietary patterns as suitable contributors towards primary prevention strategies against UDD. Most of the well-known biological mechanisms behind depression have been positively associated with healthful diets and dietary patterns to varying degrees. Interestingly, a common factor of UDD is the production and overall effects of inflammatory cytokines, such as interleukin-6, tumor necrosis factor-α, and C-reactive protein. These compounds have been associated with depressive symptoms, disturbances in neuroendocrine function, leaky gut, monoamine activity and brain function, while also being key factors in the development of cardiometabolic diseases. The Mediterranean diet (MD) in particular, is well supported by first-level evidence regarding its preventive qualities against metabolic and cardiovascular diseases and thus considered a model for healthy eating by various organizations. In one of the few clinical trials investigating these associations, the PREDIMED trial, individuals with diabetes assigned to a MD supplemented with mixed tree nuts experienced a 41% relative risk reduction for developing depression. Lastly, there is a need to include health related quality of life as an indicator of physical and mental well-being, considering its putative associations with depression and suicide risk. Going forward, focusing on clinical trials, using precise nutritional assessments, and identifying nutritional biomarkers which may be related to depression are needed to fully support the implementation of dietary recommendations in the field of psychiatry.