Depression affects 264 million persons in the world, accounting for some 4.3% of the global burden of disease. Current studies indicate that the decrease in the consumption of omega-3 food sources is associated with the increasing incidence of depression. The study aims to assess the association between the consumption of omega-3 and the maintenance and incidence of depressive episodes in adults (39–64 years) and elderly adults (>65 years). This was a longitudinal study using data from the baseline and first follow-up wave of the Longitudinal Study of Adult Health (ELSA-Brasil). Depressive episodes were obtained with the Clinical Interview Schedule Revised (CIS-R), and food consumption was measured with the Food Frequency Questionnaire (FFQ). Logistic regression was used to analyze associations between the consumption of omega-3 and depressive episodes. Fatty acids from the omega-3 family showed a protective effect against the maintenance of depressive episodes. In relation to incidence, the estimates suggest that the higher the consumption of omega-3 acids, the lower the risk of developing depressive episodes, and significant associations were found between the consumption of omega-3 and alpha-linolenic acid. Dietary consumption of omega-3, DHA, EPA, DPA, and alpha linolenic fatty acids may have a protective effect against the maintenance and incidence of depressive episodes.