Background/Objectives: Depression, anxiety, and stress are highly prevalent mental disorders worldwide, and food consumption can change in individuals with these conditions. We aimed to assess the food consumption of women with depressive symptoms and compare it to a control without symptoms. Methods: A cross-sectional study was conducted with 96 women, aged 18–59, allocated into two groups: control (n = 62) or depressive symptoms (n = 34). The participants underwent an anthropometric assessment, and food consumption was evaluated using a 24 h food recall and the NOVA classification. Depressive symptoms, anxiety, and stress were measured using the DASS-21 questionnaire. Results: Anthropometric parameters did not differ between the groups. Women with depressive symptoms consumed fewer calories (p = 0.006), carbohydrates (p = 0.014), proteins (p = 0.036), and lipids (0.011) from unprocessed and minimally processed foods (UMPF) compared to the control women. A negative correlation was found between the dietary consumption energy of UMPF and symptoms of depression (r = −0.337; p = 0.001), anxiety (r = −0.262; p = 0.014), and stress (r = −0.260; p = 0.014), as well as a positive correlation between energy intake from ultra-processed foods (UPF) and symptoms of depression (r = 0.218; p = 0.042) and stress (r = 0.227; p = 0.034). Regression analysis showed that depressive symptoms accounted for 7.6% of the lower energy consumption from UMPF. Conclusions: Women with depressive symptoms displayed lower UMPF consumption, and this was negatively correlated with symptoms of depression, anxiety, and stress. Professional dietary advice can improve health status in these patients.