After a lot of searching, I managed to find a single study investigating the effects of a ketogenic diet on depression in humans. Its loneliness in the literature was not lost on its author:
It is surprising, after so much clinical experience spanning a period of two thousand years, that this paper is the first [and last] by a psychiatrist describing the applications of the ketogenic diet in the treatment of anxiety, depression, and dysperception. Meanwhile, throughout this most advanced society of ours, in every modern psychiatric facility patients are exposed to an overdose of carbohydrates... It is time that the application of available knowledge in this field should be the rule rather than the exception. Ignorance and fear of controversy are no longer an excuse to withhold this basic and physiologically-oriented treatment from our patients.