> Vitamin D and Omega-3 are the two supplements that consistently appear to be super powerful in small studies and then fail to do anything significant at all in larger studies.
That statement is broadly true for most outcomes studied, but specifically for depression the larger study results are pretty mixed.
VITAL (the heavily cited metastudy) shows no effect. https://pubmed.ncbi.nlm.nih.gov/32749491/
But there are other large metastudies like this one for Vit D (https://pubmed.ncbi.nlm.nih.gov/39552387/) and this one for Omega 3 (https://pubmed.ncbi.nlm.nih.gov/31383846/) that do show robust moderate effects.