Major Depressive Disorder (MDD) is a growing disabling condition affecting around 280 million people worldwide. This complex entity is the result of the interplay between biological, psychological, and sociocultural factors, and compelling evidence suggests that MDD can be considered a disease that occurs as a consequence of an evolutionary mismatch and unhealthy lifestyle habits. In this context, diet is one of the core pillars of health, influencing multiple biological processes in the brain and the entire body. It seems that there is a bidirectional relationship between MDD and malnutrition, and depressed individuals often lack certain critical nutrients along with an aberrant dietary pattern. Thus, dietary interventions are one of the most promising tools to explore in the field of MDD, as there are a specific group of nutrients (i.e., omega 3, vitamins, polyphenols, and caffeine), foods (fish, nuts, seeds fruits, vegetables, coffee/tea, and fermented products) or dietary supplements (such as S-adenosylmethionine, acetyl carnitine, creatine, amino acids, etc.), which are being currently studied. Likewise, the entire nutritional context and the dietary pattern seem to be another potential area of study, and some strategies such as the Mediterranean diet have demonstrated some relevant benefits in patients with MDD; although, further efforts are still needed. In the present work, we will explore the state-of-the-art diet in the prevention and clinical support of MDD, focusing on the biological properties of its main nutrients, foods, and dietary patterns and their possible implications for these patients.