I came across this older study that looked at sugar consumption and rates of depression. The study used data across six different countires. The research showed an extremely high rate of correlation (0.94) between sugar and depression.
The study notes that correlation does not equal causation, and that other factors may be at play. It could be that industrialized areas with high sugar consumption also have other negatives - high refined flour consumption, low levels of physical activity, etc. Still, this overall relationship between sugar and depression is quite startling and deserves further study.