The study authors say "little is known about the benefits or risks" of vegetarianism on mental health.
"Since exclusion of red meat primarily characterises vegetarians, lower intakes of vitamin B12 merit consideration as a contributing factor," the paper said.
"Our findings are also consistent with a [2014] evaluation of 1046 Australian women where lower red meat consumption was associated with nearly a doubling of risk for major depressive and anxiety disorders."
However, it adds that mental health is affected by a wide range of factors.
"This study does not resolve the question of whether adoption of a vegetarian diet will increase, or decrease the risk of depressive symptoms or affect mental wellbeing or what specific nutrients, if any, may influence those risks, but does suggest that a randomised controlled trial of selected nutrients or foods may be warranted."