For starters, please know that it's extremely rare for a preschooler to be clinically depressed, unless something seriously traumatic has happened. It sounds more like your son is just vulnerable to getting bumped into a bad mood, and that it's harder than one would like for him to climb back out of his slump. And he sounds very normal; lots of other kids have similar tendencies.
So, what to do? Here are some basic principles, and parents with spirited or anxious children could probably benefit from trying these approaches as well.
Try completely eliminating foods from one of these sources for ten days, and see if there is a marked improvement in mood, resilience, energy, etc. If not, move on to eliminating foods from another group. (If you're not quite sure, on one occasion give the child a lot of the food after the ten days and see if there is an obvious return of symptoms.) Alternately, you could do a food sensitivity panel (requiring a blood draw, ouch) with a licensed health practitioner who is experienced in its analysis.
If you've determined that there is, indeed, a food allergy, yes, it's a pain in the neck, but better to know than to be in the dark. There truly are plenty of alternative, tasty foods; we know this from personal experience, since our son is allergic to wheat, etc.
Essential fatty acids - We suggest "molecularly distilled" fish oils (flax oil is an option for vegetarians, but it's often just not as effective as fish oil, alas). Try about half a teaspoon a day for a young child, either liquid (if they'll take it, perhaps mixed in their food, but not heated), or in small capsules; Nordic Naturals is an excellent brand.
B vitamins - Deficits in all of the B-vitamins have been shown to lower mood;, and vitamins B-6 and B-12, and folic acid are particularly important. Try to get your child to swallow a high potency B-complex pill, ideally in the morning (it could be a little stimulating), and don't worry about the natural result of turning his urine bright yellow. You could also try B-12, which is placed under the tongue to dissolve.
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