EPA but Not DHA Appears To Be Responsible for the Efficacy of Omega-3 Long Chain Polyunsaturated Fatty Acid Supplementation in Depression: Evidence from a Meta-Analysis of Randomized Controlled Trials This was an interesting meta-analysis from which one can glean the following:
The results of the current meta-analysis appear to confirm the original observation made by Ross et al.  that EPA and not DHA may be the responsible agent conferring benefit for the treatment of depressive symptoms with ω3 LC-PUFA supplementation (see Fig. 2 and Table 4). These results also demonstrate that it is inappropriate to assume that the effects of these 2 ω3 LC-PUFAs will be the same, either in randomized controlled trials or in meta-analytic studies examining the effect of ω3 LC-PUFA supplementation in a variety of disorders. […]
Moreover, these findings demonstrate that there is a significant relationship between baseline depression levels and efficacy, indicating that future studies examining the effects of ω3 LC-PUFA supplementation in depression should ensure that the population studied is actually suffering from clinically relevant levels of depressive symptomatology. […] In addition, the subgroup analyses presented in Table 2 provide further evidence that ω3 LC-PUFA supplementation may be most efficacious in clinical populations. [i.e. normally healthy people may not benefit] […]
DHA is the most abundant LC-PUFA present in brain cell membranes in contrast to EPA, which is present at levels several hundred-fold lower than DHA [82,83]. Consequently, the rationale for supplementation with DHA has historically rested upon the assumption that increasing the nutritional availability of a major structural component of neuronal membranes would have beneficial effects on brain function, including the amelioration of depression. However, rather than providing a structural substrate, evidence is accumulating that ω3 LC-PUFAs may instead exert their effects through cell signaling mechanisms as outlined below. This may explain why EPA, present at very low levels in the brain as compared with DHA, may have beneficial effects in depression. [my emphasis]
Regarding the possible reasons why EPA and not DHA may be more effective in depression, there is increasing evidence that DHA supplementation may have damaging effects on the nervous system. DHA, the most highly unsaturated ω3 LC-PUFA in the body, is very susceptible to lipid peroxidation and can damage DNA , increase production of reactive oxygen species in glial cells , and worsen neurologic state in rat perfusion-injury models . Highly reactive A4/J4 neuroprostanes produced from DHA in vivo under conditions of oxidative stress  may explain some of the above negative findings. In addition, although retro-conversion of DHA to EPA can occur to a certain extent, DHA is at the end of the biosynthetic pathway of ω3 LC-PUFAs and therefore supplementation may boost DHA to levels that cannot be adequately handled by metabolic pathways, which in turn, may further exacerbate production of damaging reactive derivatives. It is noteworthy that under normal circumstances, the rate of conversion of dietary α-linolenic acid to DHA is about 1%  and daily turnover of DHA in the adult human brain is only 4.6 mg , suggesting that it may not be desirable to boost DHA levels to such an extent as occurs during supplementation .
In contrast to the above findings with respect to DHA, there are many lines of evidence to indicate why EPA might be beneficial in depression. First, EPA has neuroprotective actions on lipopolysaccharide (LPS)-induced hippocampal dysfunction via the prevention of LPS-induced phosphorylation of c-Jun N-terminal kinase, c-Jun and Bcl-2, which in turn prevents the secretion of interleukin 1β (IL-1β), prevents increases in mitochondrial membrane permeability, prevents release of cytochrome C, and prevents neuronal apoptosis . Second, oxidized derivatives of EPA, unlike the A4/J4 neuroprostanes derived from DHA as described above, have beneficial anti-inflammatory effects , in addition to the well-documented anti-inflammatory effects of EPA-derived eicosanoids . Third, with respect to the inflammatory hypothesis of depression, EPA appears to have the following effects: (1) EPA is more effective than DHA at reducing the inflammatory cytokines tumor necrosis factor-α (TNF-α), IL-6, and IL-1β , an action that occurs via the mechanism of EPA inhibition of the activity of nuclear factor kappa-B (NF-κB), an important nuclear regulator of the inflammatory response ; (2) although dietary EPA and DHA incorporate into cell membranes equally as DHA, dietary EPA is more effective at reducing inflammation in vivo ; and (3) dietary DHA may not be beneficial in depression owing to the fact that it appears to induce a T helper cell type 1–like immune response with a raised interferon-γ to IL-10 ratio, whereas EPA does not induce this effect . For this reason, the authors of this latter study argue that highly purified EPA, free of any DHA, should be used in the treatment of depression.