Major depressive disorder (MDD) is an incapacitating condition characterized by loss of interest, anhedonia and low mood, which affects almost 4% of people worldwide. With rising prevalence, it is considered a public health issue that affects economic productivity and heavily increases health costs alone or as a comorbidity for other pandemic non-communicable diseases (such as obesity, cardiovascular disease, diabetes, inflammatory bowel diseases, etc.). What is even more noteworthy is the double number of women suffering from MDD compared to men. In fact, this sex-related ratio has been contemplated since men and women have different sexual hormone oscillations, where women meet significant changes depending on the age range and moment of life (menstruation, premenstruation, pregnancy, postpartum, menopause…), which seem to be associated with susceptibility to depressive symptoms. For instance, a decreased estrogen level promotes decreased activation of serotonin transporters. Nevertheless, sexual hormones are not the only triggers that alter neurotransmission of monoamines and other neuropeptides. Actually, different dietary habits and/or nutritional requirements for specific moments of life severely affect MDD pathophysiology in women. In this context, the present review aims to descriptively collect information regarding the role of malnutrition in MDD onset and course, focusing on female patient and especially macro- and micronutrient deficiencies (amino acids, ω3 polyunsaturated fatty acids (ω3 PUFAs), folate, vitamin B12, vitamin D, minerals…), besides providing evidence for future nutritional intervention programs with a sex-gender perspective that hopefully improves mental health and quality of life in women.