Depressive disorder (DD) is a psychiatric disorder whose molecular basis is not fully understood. It is assumed that reduced consumption of fish and omega-3 fatty acids (FA) is associated with DD. Other lipids such as total cholesterol (TCH), LDL-, and HDL-cholesterols (LDL-CH, HDL-CH) also play a role in depression. The primary endpoint of the study was the effect of omega-3 FA on the severity of depression in children and adolescents. This study aimed to investigate the secondary endpoint, relationship between depressive disorder symptoms and lipid profile, LDL- and HDL-cholesterol subfractions, Paraoxonase 1 (PON1) activities, and erythrocyte membrane fluidity in 58 depressed children and adolescents (calculated by the statistical program on the effect size), as well as the effect of omega-3 FA on the monitored parameters. Depressive symptoms were assessed by the Children’s Depression Inventory (CDI), lipid profile by standard biochemical procedures, and LDL- and HDL-subfractions by the Lipoprint system. Basic biochemical parameters including lipid profile were compared with levels in 20 healthy children and were in the physiological range. Improvement of symptoms in the group supplemented with a fish oil emulsion rich in omega-3 FA in contrast to omega-6 FA (emulsion of sunflower oil) has been observed. We are the first to report that omega-3 FAs, but not omega-6 FA, increase large HDL subfractions (anti-atherogenic) after 12 weeks of supplementation and decrease small HDL subfractions (proatherogenic) in depressed children. We found a negative correlation between CDI score and HDL-CH and the large HDL subfraction, but not LDL-CH subfractions. CDI score was not associated with erythrocyte membrane fluidity. Our results suggest that HDL-CH and its subfractions, but not LDL-CH may play a role in the pathophysiology of depressive disorder. The study was registered under ISRCTN81655012.