The aim of this study was to examine the relationship between nutritional intake and depressive symptoms in Valencian schoolchildren. The ANIVA (Antropometria y Nutricion Infantil de Valencia) study is a descriptive cross-sectional study. During academic year 2013–2014, 710 schoolchildren aged 6–9 years were selected from eleven primary schools in Valencia (Spain). Children’s dietary intake was measured on three-day food records, completed by parents/guardians; children completed the 20-item Center for Epidemiologic Studies Depression Scale for Children (CES-DC) Questionnaire to measure depressive symptoms. Weight, height, and body mass index (BMI), and z-scores were evaluated in all subjects. Nutrient adequacy was assessed using Spanish dietary recommended intakes (DRIs); 20.70% of the sample presented depressive symptoms. We identified a positive association between children with depressive symptoms and non-depressive symptoms for thiamin, vitamin K, and bromine (p < 0.05), and a negative association for protein, carbohydrates, pantothenic acid, biotin, vitamin B12 and E, zinc, manganese, cobalt, and aluminum (p < 0.05). Statistically significant differences were found between both groups according to the DRIs for intakes of total energy (p = 0.026), fiber (p < 0.001), vitamin C (p < 0.001), vitamin E (p = 0.004), magnesium (p = 0.018), and iron (p = 0.013). Our results demonstrated that carbohydrates were the most closely associated factor with depressive symptoms, and highlight the potential significant public health implications of inadequate nutritional intake on schoolchildren’s mental health.