There is a growing interest in understanding the role of inflammation in the diet–depression relationship. The present study examined whether the Dietary Inflammatory Index (DII; a measure of the inflammatory potential of individuals’ diets) is associated with recurrent depressive symptoms (DepS) (Center for Epidemiologic Studies Depression Scale score > 16 or taking antidepressants both at baseline and follow-up) assessed over 5 years in middle-aged men (n = 3,178) and women (n = 1,068) from the Whitehall II Study. For each increment of 1 SD of DII score, odds of recurrent DepS increased by 66% (95% confidence interval [CI] = [1.30, 2.12]) in women, whereas no significant association between DII and recurrent DepS was observed in men (odds ratio [OR] = 1.12; 95% CI = [0.92, 1.36]). This association was little attenuated after adjustment for confounders and after taking into account levels of interleukin-6 and C-reactive protein. In conclusion, there is an association between proinflammatory diet and recurrent DepS in women that seems to not be driven by circulating inflammatory markers.