This article presents a systematic literature review on whether dietary intake influences the risk for perinatal depression, i.e. depression during pregnancy or post-partum. Such a link has been hypothesized given that certain nutrients are important in the neurotransmission system and pregnancy depletes essential nutrients. PubMed, EMBASE and CINAHL databases were searched for relevant articles until 30 May 2015. We included peer-reviewed studies of any design that evaluated whether perinatal depression is related to dietary intake, which was defined as adherence to certain diets, food-derived intake of essential nutrients or supplements. We identified 4808 studies, of which 35 fulfilled inclusion criteria: six randomized controlled trials, 12 cohort, one case-control and 16 cross-sectional studies, representing 88 051 distinct subjects. Studies were grouped into four main categories based on the analysis of dietary intake: adherence to dietary patterns (nine studies); full panel of essential nutrients (six studies); specific nutrients (including B vitamins, Vitamin D, calcium and zinc; eight studies); and intake of fish or polyunsaturated fatty acids (PUFAs; 12 studies). While 13 studies, including three PUFA supplementation trials, found no evidence of an association, 22 studies showed protective effects from healthy dietary patterns, multivitamin supplementation, fish and PUFA intake, calcium, Vitamin D, zinc and possibly selenium. Given the methodological limitations of existing studies and inconsistencies in findings across studies, the evidence on whether nutritional factors influence the risk of perinatal depression is still inconclusive. Further longitudinal studies are needed, with robust and consistent measurement of dietary intake and depressive symptoms, ideally starting before pregnancy.