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From BBC News:

Eating a diet high in processed food increases the risk of depression, research suggests. What is more, people who ate plenty of vegetables, fruit and fish actually have a lower risk of depression. Researchers split the participants into two types of diet – those who ate a diet largely based on whole foods, which includes lots of fruit, vegetables and fish, and those who ate a mainly processed food diet, such as sweetened desserts, fried food, processed meat, refined grains and high-fat dairy products.

After accounting for factors such as gender, age, education, physical activity, smoking habits and chronic diseases, they found a significant difference in future depression risk with the different diets. Those who ate the most whole foods had a 26% lower risk of future depression than those who at the least whole foods. By contrast people with a diet high in processed food had a 58% higher risk of depression than those who ate very few processed foods.