Findings from observational studies investigating the association between Dietary Inflammatory Index (DII®) scores and depression symptoms (DepS) are inconsistent. This study aims to assess the association between energy-adjusted DII (E-DII™) and DepS using the North West Adelaide Health Study (NWAHS) cohort as well as update a previous meta-analysis. A total of 1743 (mean ± SD age: 56.6 ± 13.6 years, 51% female) study participants from NWAHS were included in the cross-sectional study and 859 (mean ± SD age: 58.4 ± 12.1 years, 52.6% female) in the longitudinal analyses. The Center for Epidemiological Studies Depression Scale (CES-D) was used for the measurement of DepS. E-DII scores were calculated from the dietary data collected using a validated food frequency questionnaire (FFQ). Data from two stages Stage 3 (2008–10) and North West 15 (NW15) (2015) were used. Log- and negative binomial regression were used to assess the association between quartiles of E-DII and DepS. A recent meta-analysis was updated by including 12 publications (six cross-sectional and six cohort studies) on the association between DII and DepS. In the cross-sectional analysis, a higher E-DII score (i.e., more pro-inflammatory diet) was associated with a 79% increase in odds of reporting DepS ORQuartile4vs1: 1.79; 95% CI: 1.14–2.81; p = 0.01; p for trend (ptrend) = 0.03. Males with higher E-DII had a more than two-fold higher odds of DepS (ORQuartile4vs1: 2.27; 95% CI: 1.02–5.06; p = 0.045; ptrend = 0.09). Females with higher E-DII had an 81% increase in odds of DepS (ORQuartile4vs1: 1.81; 95% CI: 1.01–3.26; p = 0.046; ptrend = 0.07). These associations were consistent in the longitudinal analysis. Comparing highest to lowest quintiles of E-DII, the updated meta-analysis showed that a pro-inflammatory diet is associated with a 45% increase in odds of having DepS (OR: 1.45; 95% CI: 1.20–1.74; p < 0.01) with higher odds in females (OR: 1.53; 95% CI: 1.16–2.01; p = 0.01) compared to their male counterparts (OR: 1.29; 95% CI: 0.98–1.69; p = 0.15). The data from the NWAHS and the updated meta-analysis of observational studies provide further evidence that a pro-inflammatory diet is positively associated with increased risk of DepS. These findings support the current recommendation on consuming a less inflammatory diet to improve DepS.