Short chain fatty acids (SCFAs) being produced during fermentation of non-digestible polysaccharides are regulatory compounds with the potential to influence inflammatory, as well as emotional state and cognition through the gut–brain axis. We analyzed the association between stool concentration of SCFAs (acetic acid (C 2:0), propionic acid (C 3:0), isobutyric acid (C 4:0 i), butyric acid (C 4:0 n), isovaleric acid (C 5:0 i) valeric acid (C 5:0 n), isocaproic acid (C 6:0 i), caproic acid, and (C 6:0 n) heptanoic acid (C 7:0)) and depressive symptoms among women and looked for the potential confounders of microbiota byproduct synthesis. We enrolled 116 women aged 52.0 ± 4.7 years and recognized depression in 47 (40.52%). To analyze the emotional state, Beck’s Depression Inventory (BDI) was used. We assessed SCFAs content by means of gas chromatography. Fiber intake was estimated using parts of food frequency questionnaire. The content of acetic acid was significantly lowered compared to non-depressed women (median {IQR}: 29.49 {20.81} vs. 34.99 {19.55}, p = 0.04). A tendency toward decreased level of propionic acid was noticed (median {IQR}: 16.88 {9.73} vs. 21.64 {12.17}, p = 0.07), while the concentration of isocaproic acid was significantly increased in (median {IQR}: 0.89 {1.15} vs. 0.56 {0.95}, p < 0.01) comparison to matched healthy subjects. We found negative correlations between acetate, propionate, and Beck’s score (r = −0.2, p = 0.03; r = −0.21, p = 0.02, respectively). Statistically significant correlations between acetate and propionate and BDI somatic score (r = −0.21, p = 0.01; r = −0.17, p = 0.03), as well as correlations regarding isocaproic and both cognitive/affective (r = 0.37, p = 0.0001) and somatic (r = 9.37, p < 0.001) scores were found. Women who declared current usage of lipid-lowering and thyroid drugs in the past, had higher content of C6:0-i (Users; median {IQR}: 1.91 {3.62} vs. non-users; 0.55 {0.67}; p = 0.0048).and lower of C2:0 (Users; median {IQR}: 23.07 {12.80} vs. non users 33.73 {21.44}; p = 0.041), respectively. No correlations regarding SCFAs concentration and fiber intake were found. We concluded that SCFAs may potentially contribute to depression phenotype, however, due to the small size of groups suffering from moderately heavy (n = 5) and severe (n = 7) depression, the conclusion should be treated with caution. Pharmacotherapy of hyperlipidemia and thyroid disease might affect SCFAs synthesis. Studies with more participants are required.