The British Broadcasting Association have put a good article about this on their web site. It includes a short video which is worth watching.
The answer from the University College London research team is yes,eating junk food does seem to increase the risk of depression.
I can believe this. The trouble is the more depressed I become the more I want to eat the exact foods they are recommending I avoid,and the less Jenny and I feel like making the effort to cook fresh vegetables. It becomes a vicious circle.