The objective of the study was to evaluate the association between fatty acid intake or the use of culinary fats and depression incidence in a Mediterranean population. Prospective cohort study (1999–2010) of 12,059 Spanish university graduates (mean age: 37.5 years) initially free of depression with permanently open enrolment. At baseline, a 136-item validated food frequency questionnaire was used to estimate the intake of fatty acids (saturated fatty acids (SFA), polyunsaturated fatty acids (PUFA), trans unsaturated fatty acids (TFA) and monounsaturated fatty acids (MUFA) and culinary fats (olive oil, seed oils, butter and margarine) During follow-up participants were classified as incident cases of depression if they reported a new clinical diagnosis of depression by a physician and/or initiated the use of antidepressant drugs. Cox regression models were used to calculate Hazard Ratios (HR) of incident depression and their 95% confidence intervals (CI) for successive quintiles of fats.