(1)Background: Depression is a serious health problem with a high cost for public administration. Epidemiological studies report that one in five children have a mental disorder and about 50% of mental health problems exacerbate in childhood and adolescence. Moreover, the antidepressant efficacy in children and adolescents is poorly demonstrated and can cause severe behavioral adverse events such as suicidal ideation. (2)Methods: This systematic literature review examined oral supplementations (Omega-3, fish oil, Vitamin D3) to treat depressed children, preadolescents, and adolescents. MEDLINE, Scopus, Embase, and PsycInfo were searched for articles published in the last five years. Six studies met the eligibility criteria. The inclusion criteria encompassed children, preadolescents, and adolescents, a diagnosis of depression, and an intervention of oral supplementations such as Omega-3, fish oil, and Vitamin D3. (3)Results: Most of the studies demonstrated that dietary intervention provides positive outcomes in terms of depression symptoms. (4)Conclusions: Overall, the results demonstrate a positive effect for oral supplementation suggesting an increase intake of Omega-3, fish oil, and Vitamin D3. However, only a few studies assess the effectiveness of diet recommendations, as a monotherapy or combined treatment, for the management of depression at developmental ages. Thus, there is still a need to further investigate these aspects and to look more specifically at adolescents and preadolescents.