High depression rates during interferon-alpha (IFN-α) treatment for hepatitis C virus (HCV) is consistent with the evidence that increased inflammatory processes participate to the pathogenesis of depression. The exact mechanisms underlying this depression are unclear. Polyunsaturated fatty acids (PUFAs) play an important role in inflammation and depression. We investigated changes in PUFA levels and depression, fatigue and stress, during IFN-α treatment. Depression, fatigue and perceived stress were assessed in 23 HCV patients at baseline and treatment week 12 (TW12) of IFN-α therapy. Plasma levels of three PUFAs; docosahexaenoic acid (DHA), eicosapapentaenoic acid (EPA) and arachidonic acid (AA), were measured in a sub-sample of 13 patients at the same time points. Levels of PUFAs are presented as percentage of total fatty acids. Depression, fatigue and stress scores were all significantly higher at TW12 compared to baseline (mean ± SEM: 23.0 ± 3.1 vs. 12.9 ± 2.6, p = 0.002, 22.0 ± 1.6 vs. 16.5 ± 1.4, p = 0.001 and 16.4 ± 1.7 vs. 13.3 ± 1.5, p = 0.026, respectively). PUFAs DHA and EPA were both lower at TW12 compared to baseline (1.6 ± 0.1 vs. 1.8 ± 0.2, p = 0.07 and 0.4 ± 0.0 vs. 0.6 ± 0.1, p = 0.05, respectively). AA levels were significantly higher at TW12 compared to baseline (6.0 ± 0.5 vs. 5.3 ± 0.4, p = 0.03). Baseline DHA levels were significantly correlated with stress and fatigue scores at TW12 (Spearman’s rho = − 0.5 p = 0.034 and r = − 0.6 p = 0.021, respectively). PUFAs may play an important role in IFN-α-induced depression, fatigue and stress, due to their anti-inflammatory and neuroprotective properties.