The central nervous system (CNS) has the highest concentration of lipids in the organism after adipose tissue. Among these lipids, the brain is particularly enriched with polyunsaturated fatty acids (PUFAs) represented by the omega-6 (omega 6) and omega-3 (omega 3) series. These PUFAs include arachidonic acid (AA) and docosahexaenoic acid (DHA), respectively. PUFAs have received substantial attention as being relevant to many brain diseases, including anxiety and depression. This review addresses an important question in the area of nutritional neuroscience regarding the importance of omega 3 PUFAs in the prevention and/or treatment of neuropsychiatric diseases, mainly depression and anxiety. In particular, it focuses on clinical and experimental data linking dietary intake of omega 3 PUFAs and depression or anxiety. In particular, we will discuss recent experimental data highlighting how omega 3 PUFAs can modulate neurobiological processes involved in the pathophysiology of anxiety and depression. Potential mechanisms involved in the neuroprotective and corrective activity of omega 3 PUFAs in the brain are discussed, in particular the sensing activity of free fatty acid receptors and the activity of the PUFAs-derived endocannabinoid system and the hypothalamic-pituitary-adrenal axis.