Objectives: Abnormal physiology (e.g., inflammation), brought on by environmental exposures (e.g., diet or shift work [SW]), can affect numerous bodily systems, including the brain, and may be associated with depressive symptomatology. The study examined the associations between SW and depressive symptoms and diet-related inflammation (estimated by the Dietary Inflammatory Index [DII]) and depressive symptoms. Additionally, diet was examined as a mediator between SW and depressive symptoms. Method: Data were obtained from the U.S. National Health and Nutrition Examination Survey (Centers for Disease Control and Prevention, 2013). SW data were based on self-report. Dietary data were collected using 24-hr dietary recalls for DII calculation. Depressive symptoms were defined using a cut-point of 10 (moderate) on the Patient Health Questionnaire-9 (PHQ-9). Logistic regression was used to estimate odds ratios and 95% confidence intervals (95% CI) for depressive symptoms by SW and DII quartiles. Results: DII scores were associated with depressive symptoms among women. Women in DII quartile 4 were 30% more likely to report depressive symptoms than women in quartile 1 (95% CI [1.00–1.68]). There was no association between symptoms and SW when using a PHQ-9 cut-point of 10. When using a cut-point of 5 (mild depressive symptoms), those working any form of SW were more likely to suffer from mild symptoms than day workers (odds ratio = 1.22; 95% CI [1.04–1.43]). There was some evidence for mediation by the DII between SW and depressive symptoms. Conclusions: Future longitudinal studies should examine effects of reductions in inflammation through diet on depressive symptoms, especially among shift workers, to elucidate the role of diet on depression among these groups.