The World Health Organization estimates that one fifth of university students have experienced major depressive disorder at some point in their lives. Nutrition may be one of the modifiable factors that influence the development of depression. Specifically, low omega-3 fatty acid and vitamin D levels, both nutrients found in high quantities in fish, have been linked to depressive disorders. The main objective of this study was to evaluate the prevalence of depression among young Spanish university students, in addition to the pattern of fish consumption among students and the possible relationship between fish consumption and the presence of depression. Data were collected retrospectively from a nationally representative sample of 11,485 Spanish university students aged 18 years or older in 11 Spanish universities, from 2012 to 2022. The respondents were analyzed according to frequency of consumption and compliance with weekly recommendations for fish intake and the presence of depression. Regression models were also performed to determine students’ odds of depression as a function of compliance with recommendations according to selected sociodemographic variables. The prevalence of depression was 10.5%; it was more prevalent in women, older students and in those with both high and low BMIs. In addition, it was also more prevalent in those that lived outside the family home, with roommates and those who were employed. Sixty-seven percent of the students met the fish intake recommendations. The most common frequency of fish consumption was 1–2 times/week (44.2%), and the least frequent was 2.3% daily fish consumption. Students from northern universities were more likely to consume fish (68.4%) than those from southern universities (66.4%). Non-consumption of fish was found to increase the risk of depression (ORa = 1.45 (1.28–1.64); AF = 31.0% (21.9–39.0)), but it was the student’s own conditions that had the greatest influence on the development of the disorder. In summary, a lower consumption of fish seems to be associated with a higher incidence of depression in Spanish university students; however, other social factors of the student may influence the development of the disorder, and all of this should be taken into account for the development of prevention strategies.