Depression is classified as one of the most common mental disorders. Its prevalence has recently increased, becoming a growing public health threat. This review focuses on clarifying the role and importance of individual nutrients in the diet and the impact of nutrient deficiencies on the risk of depression. Deficiencies in nutrients such as protein, B vitamins, vitamin D, magnesium, zinc, selenium, iron, calcium, and omega-3 fatty acids have a significant impact on brain and nervous system function, which can affect the appearance of depressive symptoms. However, it is important to remember that diet in itself is not the only factor influencing the risk of or helping to treat depression. There are many other aspects, such as physical activity, sleep, stress management, and social support, that also play an important role in maintaining mental health. The data review observed that most of the available analyses are based on cross-sectional studies. Further studies, including prospective cohort, case-control studies, are recommended to draw more reliable conclusions.