I've found that when I'm eating a lot of simple carbs (desserts, candy, etc...), my energy level and mood will crash more drastically than when I'm eating healthier food. I agree with MoonTurtle... when I'm eating lots of fruits and vegetables, my self-esteem goes up a little bit, and I think I generally feel better. But, when I'm really depressed, I don't have the energy to cook anything and tend to eat badly.

One book I've found that deals with dietary issues and depression is "The Chemistry of Joy" by Henry Emmons. It is an interesting read.