The consumption of sweetened beverages, refined foods, and pastries has been shown to be associated with an increased risk of depression in longitudinal studies.
Gangwisch JE, et al. (Am J Clin Nutr. 2015 Aug;102(2):454-63) found a progressively higher dietary Glycemic Index to be associated with increasing odds of depression; progressively higher consumption of dietary added sugars increased this risk. Higher consumption of fiber, nonjuice fruit, and vegetables was significantly associated with lower odds of depression, and nonwhole/refined grain consumption was associated with increased odds of depression.