Omega-3 polyunsaturated fatty acids (n-3 PUFAs) have been described as positively associated with cognitive functioning. Current meta-analyses have identified eicosapentaenoic acid (EPA) as potentially more effective than docosahexaenoic acid (DHA). An especially vulnerable subgroup that might benefit from these beneficial effects are depressed youths. In this study, we examined associations between red blood cell (RBC) DHA and EPA levels and depression severity and verbal memory performance in a sample of 107 moderately (n = 63) and severely (n = 44) depressed youths. The findings showed that youths with high RBC EPA levels had steeper learning curves compared to those with moderate or low RBC EPA levels (Pillai’s Trace = 0.195, p = 0.027, ηp2 = 0.097). No associations between RBC DHA levels or depression severity and verbal memory performance were observed. Our results further confirm previous findings indicating a more important role of EPA compared to DHA in relation to cognitive functioning. Future research should further investigate the differential role of EPA and DHA concerning cognitive functioning in depressed youths. Evidence supporting beneficial supplementation effects could potentially establish a recommendation for a natural and easily accessible intervention for cognitive improvement or remission.