N-3 polyunsaturated fatty acids (PUFAs) have been suggested to affect depressive disorders. This review aims to determine the effect of n-3 PUFAs on depressive symptoms in people with or without diagnosed depression. Medline, PsycINFO, and Cochrane CENTRAL databases were searched for randomized controlled trials (RCTs) assessing the association between n-3 PUFAs and depressive symptoms or disorders as outcomes. A random-effects meta-analysis of standardized mean difference (SMD) with 95% confidence intervals (CI) was performed. Twenty-five studies (7682 participants) were included. Our meta-analysis (20 studies) indicated that n-3 PUFA supplementation lowered depressive symptomology as compared with placebo: SMD = −0.34, 95% CI: −0.55, −0.12, I2 = 86%, n = 5836, but a possible publication bias cannot be ruled out. Subgroup analyses indicated no statistically significant difference by treatment duration of <12 vs. ≥12 weeks, presence of comorbidity, or severity of depressive symptoms. Nevertheless, beneficial effects were seen in the subgroups of studies with longer treatment duration and with no depression and mild to moderate depression. Subgroup analysis by eicosapentaenoic acid (EPA) dosage revealed differences in favor of the lower EPA dosage. Sensitivity analysis including studies with low risk of bias seems to confirm the overall result. Supplementation of n-3 PUFA appears to have a modest beneficial effect on depressive symptomology, although the quality of evidence is still insufficient.