Depression represents one of the major causes of disability worldwide, with an important socioeconomic cost. Although many risk factors have been considered in its pathogenesis, nutrition seems to play a determinant role in its prevention. With regard to individual macronutrients, dietary fats and especially n-3 polyunsaturated fatty acids (n-3 PUFA) are the most studied. However, previous data about other dietary fatty acids, such as n-6 PUFA, are conflicting, and little is known about saturated fatty acids (SFA), especially when considering carbon chain length. Thus, we investigated whether single types and subtypes of dietary fats are related to depressive symptoms in Italian individuals living in the Mediterranean area. Dietary and socio-demographic data of 1572 individuals were analyzed. Food frequency questionnaires (FFQs) were used to determine the consumption of total dietary fat and each specific class of dietary fat, such as SFA, monounsaturated fatty acid (MUFA), and PUFA. The intake of fatty acids was also assessed according to the carbon-chain length of each single class. The Center for Epidemiologic Studies Depression Scale (CES-D) was used as a screening tool for depressive symptoms. After adjustment for potential confounding factors, a significant inverse association between low/moderate levels of PUFA intake and depressive symptoms (Q2 vs. Q1, odds ratio (OR) = 0.60, 95% CI: 0.44, 0.84) was found. On the other hand, moderate saturated fat consumption was associated with depressive symptoms (Q3 vs. Q1, OR = 1.44, 95% CI: 1.02, 2.04). However, when considering carbon chain length, individuals with a lower to moderate intake of short-chain saturated fatty acids (SCSFA) and medium-chain saturated fatty acids (MCSFA) were less likely to have depressive symptoms (Q3 vs. Q1, OR = 0.48, 95% CI: 0.31, 0.75), while moderate intake of arachidic acid (C20:0) was directly associated with depressive symptoms (Q3 vs. Q1, OR = 1.87, 95% CI: 1.26, 2.77). Among single MUFAs, higher myristoleic acid (C14:1) intake was directly associated with depressive symptoms (Q4 vs. Q1, OR = 1.71, 95% CI: 1.12, 2.61), while moderate intake of erucic acid (C22:1) was associated with lower odds of having depressive symptoms (Q3 vs. Q1, OR = 0.54, 95% CI: 0.33, 0.86). When considering individual PUFAs, individuals with moderate and higher intakes of arachidonic acid (C20:4) were less likely to have depressive symptoms (OR = 0.64, 95% CI: 0.45, 0.91; OR = 0.59, 95% CI: 0.38, 0.91, respectively). Similarly, higher eicosapentaenoic acid (C20:5) intake was inversely associated with depressive symptoms (Q4 vs. Q1, OR = 0.35, 95% CI: 0.12, 0.98), while a significant association for docosahexaenoic acid (C22:6) was retrieved only for low intakes (Q2 vs. Q1, OR = 0.33, 95% CI: 0.12, 0.88). Dietary fat intake may be associated with depressive symptoms, underlying the importance of distinguishing between different fat types. This study confirms the pivotal role of PUFAs and reopens the debate on the role of saturated fatty acids, suggesting plausible effects of moderate intakes of short-chain fatty acids.