I'm not a dietitian, nutritionist, or personal trainer. I'm a talk therapist, a mental health counselor. But time after time, clients who first sought my help with all kinds of other goals and issues will ask me about diet, exercise, and weight loss. I used to treat these questions the same way I treat many others: as a curious agnostic, encouraging clients to explore their feelings about these issues and supporting them in pursuing whatever goals they identified. But when it comes to those also struggling with depressed moods, I'm no longer an agnostic. I encourage my clients to focus on increasing exercise and physical activity first and foremost, and put diet and weight monitoring firmly in the backseat.
Why? Short answer, because exercise will reliably make you feel better. Dieting and weight monitoring are decidedly mixed bags. And helping people improve their moods is pretty core to my job description.
The only real "downside" to exercise as a treatment for depression is that so many of the common symptoms of depression (low energy, indecision, lack of interest, low motivation, poor focus, body pains) make it harder to exercise. However, somewhat counter-intuitively, exercise can very quickly improve those same symptoms. Why is it so important that the mood and symptom improvement can be so rapid, even if this change sometimes feels fleeting? Because this restores a feeling that actions and decisions matter. It's harder to feel hopeless, helpless, or powerless when actions lead (even unreliably) to rapid, unambiguous results.
When I say that changing diet is a mixed bag, I especially mean dieting, or calorie reduction/restriction. Eating less, all other things being equal, will probably make you feel worse in the short term. The kind of self-monitoring required to resist food urges will turn into self-punishment, and even if you succeed in your diet it's easy to become your own worst enemy in the process. If you're depressed and lucky enough to have an appetite, food might be one of the few sources of pleasure and reward you have left, so consider treating a bit of comfort eating with more self-compassion than guilt. Weight monitoring is even worse, because it makes you attend to numbers that, on a day-to-day basis, are usually more noise than signal.
None of this is to say that changing the content of your diet can't have very positive effects on mood. It absolutely can. The problem is that response to diet is highly individualized. So there might be quite a bit of trial-and-error before you figure out which foods make you feel better. This can be worthwhile, and if you're serious about it I recommend that you undertake this process of inquiry with the help of a nutritionist, Naturopath, or similar professional. But also keep in mind that if you are in the process of making other changes to your treatment, or major transitions/adjustments in your life, it can be very difficult to identify the effects of diet on mood. There are so many variables.