Objective: To gather research evidence on the association between diet and depression and anxiety among college students. Methods: Systematic searches were performed in CINAHL, PsycINFO, PubMed, and ScienceDirect databases to identify potentially relevant articles published between January 2000 and September 2020. Data were extracted from 21 selected studies. Results: Most of the cross-sectional studies found a positive association between diet and depression and anxiety; however, a few studies found inconsistent results. Moreover, several interventional studies demonstrated that a healthy diet (including consumption of fruit and vegetables) improved depression in the intervention group. Conclusions: The methodological limitations of cross-sectional studies to explain causality and the limited number of prospective interventional studies point to a pressing need to conduct more prospective, longitudinal, and randomized controlled trials to generalize the causal associations between diet and depression and anxiety. Further research is needed to investigate the biological mechanisms of nutrients' actions on anxiety and depression.