With depression being the psychiatric disorder incurring the largest societal costs in developed countries, there is a need to gather evidence on the role of nutrition in depression, to help develop recommendations and guide future psychiatric health care. The aim of this systematic review was to synthesize the link between diet quality, measured using a range of predefined indices, and depressive outcomes. Medline, Embase and PsychInfo were searched up to 31st May 2018 for studies that examined adherence to a healthy diet in relation to depressive symptoms or clinical depression. Where possible, estimates were pooled using random effect meta-analysis with stratification by observational study design and dietary score. A total of 20 longitudinal and 21 cross-sectional studies were included. These studies utilized an array of dietary measures, including: different measures of adherence to the Mediterranean diet, the Healthy Eating Index (HEI) and Alternative HEI (AHEI), the Dietary Approaches to Stop Hypertension, and the Dietary Inflammatory Index. The most compelling evidence was found for the Mediterranean diet and incident depression, with a combined relative risk estimate of highest vs. lowest adherence category from four longitudinal studies of 0.67 (95% CI 0.55-0.82). A lower Dietary Inflammatory Index was also associated with lower depression incidence in four longitudinal studies (relative risk 0.76; 95% CI: 0.63-0.92). There were fewer longitudinal studies using other indices, but they and cross-sectional evidence also suggest an inverse association between healthy diet and depression (e.g., relative risk 0.65; 95% CI 0.50-0.84 for HEI/AHEI). To conclude, adhering to a healthy diet, in particular a traditional Mediterranean diet, or avoiding a pro-inflammatory diet appears to confer some protection against depression in observational studies. This provides a reasonable evidence base to assess the role of dietary interventions to prevent depression.