The co-occurrence of depression and obesity has become a significant public health concern worldwide. Recent studies have shown that metabolic dysfunction, which is commonly observed in obese individuals and is characterized by inflammation, insulin resistance, leptin resistance, and hypertension, is a critical risk factor for depression. This dysfunction may induce structural and functional changes in the brain, ultimately contributing to depression’s development. Given that obesity and depression mutually increase each other’s risk of development by 50–60%, there is a need for effective interventions that address both conditions. The comorbidity of depression with obesity and metabolic dysregulation is thought to be related to chronic low-grade inflammation, characterized by increased circulating levels of pro-inflammatory cytokines and C-reactive protein (CRP). As pharmacotherapy fails in at least 30–40% of cases to adequately treat major depressive disorder, a nutritional approach is emerging as a promising alternative. Omega-3 polyunsaturated fatty acids (n-3 PUFAs) are a promising dietary intervention that can reduce inflammatory biomarkers, particularly in patients with high levels of inflammation, including pregnant women with gestational diabetes, patients with type 2 diabetes mellitus, and overweight individuals with major depressive disorder. Further efforts directed at implementing these strategies in clinical practice could contribute to improved outcomes in patients with depression, comorbid obesity, and/or metabolic dysregulation.