Major depression and anxiety disorders have high prevalence rates and are frequently comorbid. The neurobiological bases for these disorders are not fully understood, and available treatments are not always effective. Current models assume that dysfunctions in neuronal proteins and peptide activities are the primary causes of these disorders. Brain lipids determine the localization and function of proteins in the cell membrane and in doing so regulate synaptic throughput in neurons. Lipids may also leave the membrane as transmitters and relay signals from the membrane to intracellular compartments or to other cells. Here we review how membrane lipids, which play roles in the membrane's function as a barrier and a signaling medium for classical transmitter signaling, contribute to depression and anxiety disorders and how this role may provide targets for lipid-based treatment approaches. Preclinical findings have suggested a crucial role for the membrane-forming n-3 polyunsaturated fatty acids, glycerolipids, glycerophospholipids, and sphingolipids in the induction of depression- and anxiety-related behaviors. These polyunsaturated fatty acids also offer new treatment options such as targeted dietary supplementation or pharmacological interference with lipid-regulating enzymes. While clinical trials support this view, effective lipid-based therapies may need more individualized approaches. Altogether, accumulating evidence suggests a crucial role for membrane lipids in the pathogenesis of depression and anxiety disorders; these lipids could be exploited for improved prevention and treatment. This article is part of a Special Issue entitled Brain Lipids.