Introduction: Cardiovascular diseases (CVDs) and major depressive disorder (MDD) will be the two most disabling diseases by 2030. Patients with CVDs comorbid depression had lower levels of total omega-3 polyunsaturated fatty acids (n-3 PUFAs), docosahexaenoic acid (DHA), and a higher omega-6 to omega-3 ratio. However, there have been limited studies on the effects n-3 PUFAs on MDD in patients with CVDs. Method: We have enrolled a total of 59 patients (64% males, mean age of 61.5 ± 9.0 years and mean education of 10.2 ± 4.2 years) with CVDs comorbid MDD. They were randomized into either receiving n-3 PUFAs (2 g per day of eicosapentaenoic acid (EPA) and 1 g of DHA) or placebo for 12 weeks. We assessed depression symptom severity with Hamilton Depression Rating Scale (HAMD) and Beck Depression Inventory (BDI), as well as blood fatty acid levels, electrocardiogram and blood biochemistry, at the baseline and at the endpoint. Results: There were no differences between the n-3 PUFAs and placebo group in the changes of HAMD and BDI total scores, while PUFAs group had a greater reduction in HAMD Cognition subscale scores than the placebo group at week 8 (p < 0.05). Moreover, subgroup analyses found that the n-3 group had a greater reduction of HAMD Core subscale scores than the placebo group at the end of week 12 (p < 0.05) for the very severe DEP group (HAMD ≥ 23). Conclusion: Overall, n-3 PUFAs did not show a beneficial effect on depressive symptoms when compared with placebo. However, when stratified with depression severity, n-3 PUFAs supplementation improved core depression symptoms in the very severe MDD group. N-3 PUFAs supplementation may provide a treatment option for a subpopulation of patients with CVDs comorbid MDD.