An increasingly pertinent issue in psychiatry in recent years is that of the limitations of conventional antidepressants, which are not effective in a large number of patients with major depressive disorder (MDD). Coupled with emerging hypotheses about the role of inflammation in depression, it would appear that it is time to look for alternative treatments for these symptoms. This review will examine an emerging area in psychiatry, that of dietary supplements and the diet in general to treat depressive symptoms, and inflammation in depression. In particular, polyunsaturated fatty acids (PUFAs), probiotics and folic acid are three supplements that demonstrate the ability to target inflammation and other underlying systems in depression. While there is a definite need for more research in all these supplements to determine true efficacy, dosage and target populations, they can be used as mono- or adjunctive therapies to good effect, and show superior safety profiles when compared with more traditional alternatives.