Higher consumption of fruit and vegetables has been associated with a lower risk of various chronic diseases including coronary heart disease, obesity, and certain cancers. Recently, fruit and vegetable intake has also been linked with mental health, including depression; however, this area is largely unexplored studies in young people and adults. This systematic review aimed to evaluate the association between fruit and vegetable intake and depressive symptoms in young people and adults aged 15–45. The review used a predefined protocol registered with International Prospective Register of Systematic Reviews (PROSPERO) database (ID no: CRD42018091642). The systematic review focused on peer-reviewed cohort studies published from 1 January 2000 to 31 August 2020 using searches of six electronic databases. The exposure was fruit and vegetable consumption analysed both separately and/or together, and the outcome was depression or depressive symptoms. Data from eligible studies were extracted according to predefined criteria and the studies were appraised using the Newcastle–Ottawa Scale (NOS) for cohort studies to evaluate for study quality and risk of bias. A total of 12 studies from seven countries were deemed eligible and included in the qualitative synthesis, one study was categorised as “very good” quality, nine studies were “good” quality, and two studies were “moderate” quality by the quality assessment based on the total score for the NOS. The majority of cohort studies support the evidence that fruit consumption is associated with decreased risk of developing depression. However, the inconsistent results were observed when the effects of vegetable consumption were analysed independently, and the effects of fruit and vegetables combined were analysed. Despite this, the evidence seems to be building that a possible association exists, and this may have implications for addressing the burden of mental illness in young people and adults aged 15–45 years. More well-designed prospective cohort studies are needed to provide more robust evidence on the relationship between fruit and vegetable intake and depression.