With the unsatisfaction of monoamine-based pharmacotherapy and the high comorbidity of other medical illness in depression, the serotonin hypothesis seems to fail in approaching the aetiology of depression. Based upon the evidence from epidemiological data, case-control studies of phospholipid polyunsaturated fatty acids (PUFAs) levels in human tissues, and antidepressant effect in clinical trials, PUFAs have shed a light to discover the unsolved of depression and connect the mind and body. Briefly, the deficit of n-3 PUFAs has been reported to be associated with neurological, cardiovascular, cerebrovascular, autoimmune, metabolic diseases and cancers. Recent studies revealed that the deficit of n-3 PUFAs is also associated with depression. For example, societies that consume a small amount of omega-3 PUFAs appear to have a higher prevalence of major depressive disorder. In addition, depressive patients had showed a lower level of omega-3 PUFAs; and the antidepressant effect of PUFAs had been reported in a number of clinical trials. The PUFAs are classified into n-3 (or omega-3) and n-6 (or omega-6) groups. Eicosapentaenoic acid (EPA) and docosahexaenoic acid (DHA), the major bioactive components of n-3 PUFAs, are not synthesized in human body and can only be obtained directly from the diet, particularly by consuming fish. DHA deficit is associated with dysfunctions of neuronal membrane stability and transmission of serotonin, norepinephrine and dopamine, which might connect to the aetiology of mood and cognitive dysfunction of depression. On the other hand, EPA is important in balancing the immune function and physical healthy by reducing arachidonic acid (AA, an n-6 PUFA) level on cell membrane and prostaglandin E2 (PGE2) synthesis. Interestingly, animals fed with high AA diet or treated with PGE2 were observed to present sickness behaviours of anorexia, low activity, change in sleep pattern and attention, which are similar to somatic symptoms of depression in human. Therefore, the deficit of EPA and DHA in depression might be associated with mood disturbance, cognitive dysfunction, medical comorbidity and somatic symptoms in depression. Indeed, the role of n-3 PUFAs in immunity and mood function supports the promising psychoneuroimmunologic hypothesis of depression and provides an excellent interface shared by body and mind.