Depression and cardiovascular diseases (CVDs) are highly comorbid diseases, implying common mechanisms interplay between these two. According to recent clinical and basic studies, omega-3 polyunsaturated fatty acids (n-3 PUFAs) seem to be a possible interface. N-3 PUFAs deficiency is associated with dysfunctions of neuronal membrane stability and transmission of neurotransmitters, which might connect to the etiology of mood and cognitive dysfunction of depression. N-3 PUFAs is essential in balancing the immune function by reducing membrane arachidonic acid and prostaglandin E2 synthesis, which have been linked to the somatic manifestations of CVDs and depression. The role of n-3 PUFAs in immunity and neural function further supports the hypothesis of psychoneuroimmunology of depression and CVDs and provides an excellent interface between ‘mind’ and ‘body.’ This review is to provide an overview across evidences of the role of n-3 PUFAs in depression and CVD, and to propose possible mechanisms by which they may act at molecular and cellular levels.