The unsatisfactory results of monoamine-based antidepressant therapy and the high occurrence of somatic symptoms and physical illness in patients with depression imply that the serotonin hypothesis is insufficient to approach the aetiology of depression. Depressive disorders with somatic presentation are the most common form of depression. Somatization, the bodily symptoms without organic explanation, is similar to cytokine-induced sickness behaviour. Based on recent evidence, omega–3 polyunsaturated fatty acids (n–3 PUFAs, or n–3 fatty acids) are enlightening a promising path to discover the unsolved of depression, sickness behaviour and to link the connection of mind and body. The PUFAs are classified into n–3 (or omega–3) and n–6 (or omega–6) groups. Eicosapentaenoic acid and docosahexaenoic acid, the major bioactive components of n–3 PUFAs, are not efficiently synthesized in humans and should therefore be obtained directly from the diet, particularly by consuming fish. Docosahexaenoic acid deficiency is associated with dysfunctions of neuronal membrane stability and transmission of serotonin, norepinephrine and dopamine, which might connect to the aetiology of mood and cognitive dysfunction of depression. Likewise, eicosapentaenoic acid is important in balancing the immune function and physical health by reducing membrane arachidonic acid (an n–6 PUFA) and prostaglandin E2 synthesis, which might be linked to the somatic manifestations and physical comorbidity in depression. The role of n–3 PUFAs in immunity and mood function supports the promising hypothesis of psychoneuroimmunology of depression and provides an excellent interface between ‘mind’ and ‘body’. This review is to provide an overview of the evidence about the role of n–3 PUFAs in depression and its common comorbid physical conditions and to propose mechanisms by which they may modulate molecular and cellular functions.