Depression is a common mental illness that affects 5% of the adult population globally. The most common symptoms of depression are low mood, lack of pleasure from different activities, poor concentration, and reduced energy levels for an extended period, and it affects the emotions, behaviors, and overall well-being of an individual. The complex pathophysiology of depression presents challenges for current therapeutic options involving a biopsychosocial treatment plan. These treatments may have a delayed onset, low remission and response rates, and undesirable side effects. Researchers in nutrition and food science are increasingly addressing depression, which is a significant public health concern due to the association of depression with the increased incidence of cardiovascular diseases and premature mortality. Polyphenols present in our diet may significantly impact the prevention and treatment of depression. The primary mechanisms include reducing inflammation and oxidative stress, regulating monoamine neurotransmitter levels, and modulating the microbiota–gut–brain axis and hyperactivity of the hypothalamic–pituitary–adrenal (HPA) axis. This review summarizes recent advances in understanding the effects of dietary polyphenols on depression and explores the underlying mechanisms of these effects for the benefit of human health. It also highlights studies that are looking at clinical trials to help future researchers incorporate these substances into functional diets, nutritional supplements, or adjunctive therapy to prevent and treat depression.