Micronutrient deficiency and depression are major global health problems. Here, we first review recent empirical evidence of the association between several micronutrients—zinc, magnesium, selenium—and depression. We then present potential mechanisms of action and discuss the clinical implications for each micronutrient. Collectively, empirical evidence most strongly supports a positive association between zinc deficiency and the risk of depression and an inverse association between zinc supplementation and depressive symptoms. Less evidence is available regarding the relationship between magnesium and selenium deficiency and depression, and studies have been inconclusive. Potential mechanisms of action involve the HPA axis, glutamate homeostasis and inflammatory pathways. Findings support the importance of adequate consumption of micronutrients in the promotion of mental health, and the most common dietary sources for zinc and other micronutrients are provided. Future research is needed to prospectively investigate the association between micronutrient levels and depression as well as the safety and efficacy of micronutrient supplementation as an adjunct treatment for depression.