Depression is the leading cause of disability worldwide, and even though many forms of therapy exist, about one third of patients treated with conventional antidepressants do not experience a response. For these reasons, new approaches to treat depression, including fish oil, are being investigated. Fish oil is known to have many beneficial side effects, and clinical trials demonstrate that supplementation with fish oil is beneficial in the management of depression. Fish oil contains omega-3 polyunsaturated fatty acids (PUFA), and there are several mechanisms by which PUFAs are thought to induce an antidepressant effect, including anti-inflammatory action and direct effects on membrane properties. This review will analyze and evaluate the clinical trials surrounding fish oil use in the treatment of depression, and will also review the likely sites of action of PUFAs at the cell membrane with special attention being placed on lipid rafts and G-proteins.