Depression is a mental disorder associated with environmental, genetic and psychological factors. Recent studies indicate that chronic neuro-inflammation may affect brain physiology and alter mood and behavior. Consumption of a high-fat diet leads to obesity and chronic systemic inflammation. The gut microbiota mediates many effects of a high-fat diet on human physiology and may also influence the mood and behavior of the host. We review here recent studies suggesting the existence of a link between obesity, the gut microbiota and depression, focusing on the mechanisms underlying the effects of a high-fat diet on chronic inflammation and brain physiology. This body of research suggests that modulating the composition of the gut microbiota using prebiotics and probiotics may produce beneficial effects on anxiety and depression.