This study was conducted to determine the effects of two different types of fat (krill oil [KO] and coconut oil [CO]) on obesity, behavioral tests, and some inflammatory markers when consumed with a high-fat or control diet in rats with depression. The study was conducted mainly in two phases: the induction of depression (37 days) and the dietary intervention (60 days). After the induction of depression by chronic unpredictable mild stress, dietary intervention started. Sixty male Sprague-Dawley rats were divided into 6 groups with 10 rats in each group: (1) standard diet (SD), (2) SD + 5% KO, (3) SD + 5% medium-chain triglyceride (MCT)* (*CO to contain 5% MCT), (4) high-fat diet (HFD), (5) HFD + 5% KO, and (6) HFD + 5% MCT*. The open field test (OFT), forced swimming test (FST), and sucrose preference test were performed at baseline, end of the depression induction, and dietary intervention to observe behavioral changes in rats. After the final behavioral test, animals were sacrificed, and blood samples were collected for biochemical analyses C-reactive protein (milligram per liter), cortisol (microgram per deciliter), and insulin (micro-international units per milliliter) to assess inflammatory changes in the blood. All data were analyzed under two headings: baseline, end of depression induction, end of dietary intervention, and dietary intervention groups. Body weight gain was highest in the SD+KO and lowest in the SD+MCT group (P < .05). When behavioral tests were evaluated according to dietary intervention, it was found that the SD+MCT group spent the most time in the center, the least time in the periphery, and the lowest immobilization time (P < .05). In FST, the SD+KO with the highest weight gain was the most immobile group (P < .05). The study indicates that the weight-reducing effects of MCTs resulted in positive behavioral responses, particularly in OFT and FST. Through these properties, MCTs can be used medicinally in the prevention and treatment of behavioral changes due to depression.