Keeping the heart healthy by avoiding junk food may also ward off depression, research suggests.
Damage to tiny blood vessels increases the risk of the blues by up to 58 per cent, Dutch scientists claim.
This destruction of capillaries, part of the body's microvascular system, is most often caused by high blood pressure and diabetes as a result of poor diets, reported the Daily Mail.
The vessels are responsible for transporting oxygen across the body, but if they become wrecked, various organs receive a reduced supply.
The brain is particularly vulnerable, Maastricht University experts said, as a lack of the vital gas can disrupt chemical levels.
An imbalance of these neurotransmitters is widely believed by researchers to be a cause of depression.
Lead author Miranda Schram said: "You can imagine that this would lead to a depressed mood. If something goes wrong [with the capillaries], the tissue isn't happy."
"Be aware that your hypertension and diabetes are an enemy to your microvascular circulation. Try to treat them."
How was the study carried out?
To assess the link between depression and capillary damage, the researchers used data of more than 43,600 adults.
All participants in the 712 studies were over the age of 40. Some 9,203 were diagnosed as being depressed.
What were the findings?
When signs of injury were detected in the blood, the risk of patients developing depression was 58 per cent higher.
A 30 per cent greater risk was noted in volunteers who had suffered very small strokes caused by capillary failure.
But experts warn the new study, published in JAMA Psychiatry, can't prove damage to capillaries as being a cause of depression.
The results are 'complicated'
Dr Bret Rutherford, of the New York State Psychiatric Institute, who wasn't involved in the study, was wary of the findings.
He said: "The relationships between healthy brain aging and neuropsychiatric disorders goes in both directions and is sort of complicated."
For example, it could be that microvascular damage causes depression. Or, it could be that depression leads to unhealthy blood vessels.
Problems with these small blood vessels can also affect the eyes, the nerves, the skin and the kidneys, the researchers noted.