Mood disorders such as major depressive disorder (MDD) and bipolar disorder (BD) are often resistant to current pharmacological treatment. Therefore, various alternative therapeutic approaches including diets are, therefore, under investigation. Ketogenic diet (KD) is effective for treatment-resistant epilepsy and metabolic diseases, however, only a few clinical studies suggest its beneficial effect also for mental disorders. Animal models are a useful tool to uncover the underlying mechanisms of therapeutic effects. Women have a twice-higher prevalence of mood disorders but very little is known about sex differences in nutritional psychiatry. In this review, we aim to summarize current knowledge of the sex-specific effects of KD in mood disorders. Ketone bodies improve mitochondrial functions and suppress oxidative stress, inducing neuroprotective and anti-inflammatory effects which are both beneficial for mental health. Limited data also suggest KD-induced improvement of monoaminergic circuits and hypothalamus–pituitary–adrenal axis—the key pathophysiological pathways of mood disorders. Gut microbiome is an important mediator of the beneficial and detrimental effects of diet on brain functioning and mental health. Gut microbiota composition is affected in mood disorders but its role in the therapeutic effects of different diets, including KD, remains poorly understood. Still little is known about sex differences in the effects of KD on mental health as well as on metabolism and body weight. Some animal studies used both sexes but did not find differences in behavior, body weight loss or gut microbiota composition. More studies, both on a preclinical and clinical level, are needed to better understand sex-specific effects of KD on mental health.