The nutritional management of depression has long been discussed, due to the perceived benefit of a nutritional product having less side effects than pharmaceutical agents. Candidate nutrients for managing depression include vitamin D, B vitamins, tryptophan, branch chain amino acids, probiotics, omega-3 fatty acids, folate/methylfolate (also known as vitamin B9), and s-adenosylmethionine. This paper provides a narrative review of three nutrients which have significant scientific support for the management of depression. A deficiency in each nutrient is associated with depression, and interventional studies indicate that the correction of the nutritional deficiency may provide clinical benefit. We present epidemiological evidence, a mechanistic explanation and a review of interventional studies for these nutrients. Finally, relevant nutritional guidelines are presented with their conclusion for the role of each nutrient in the management of depression.