It's good for your general health, due to the high Omega-3 fatty acid content. Bear in mind you should be getting a ratio of about 1:3 omega 3 to omega 6 acids, but the standard diet in the US is about 1:10-1:30, and slightly less in other 'western' countries (still way too high on Omega 6 though). So Omega 3 is very beneficial to your health, and apparently can help lift depression.
Basically, if you're healthy, it follows that you're going to be less depressed than if you're unhealthy, because let's face it - nobody likes being sick, and there's nothing worse than being ill all the time. You just need to be careful of the form the fish oil takes, as a lot of fish these days is high in mercury thanks to our polluted oceans, and cheaper brands will often still have that in the oil, rather than getting rid of it during processing.
Fish Oil will generally also contain Vitamin D though, which is where the anti-depressant qualities could also be coming from. Vitamin D is one of the 'super vitamins' and a potent anti-cancer agent. Be aware, though, that it comes in a few forms. Vitamin D2 is very easy to overdose on, so you shouldn't take that in tablet form. Vitamin D3, however, is better for you and less easy to OD on, so is ok to take as a supplement - just bear in mind you should be monitoring levels via blood tests. However... the easiest way to get it (and the one way you can't overdose on it) is to get it from sunlight. Direct sunlight straight onto your skin - not through glass, and not with sunblock or moisturisers or anything on - creates Vitamin D, which forms on the skin. Approx. 10mins is all you need a day to get your minimum requirement, as long as you get 3/4 of your body in the sun. The moment you start turning pink you need to get in the shade though and let it absorb, or it'll just burn off. Obviously sunburn is to be avoided. So 10mins sun then 10mins shade is ideal.
Sorry - tangent!
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We are a fever, we are a fever, we ain't born typical...