It may taste good in the moment, but a study in Molecular Metabolism finds that a diet high in processed sugar and saturated fat can cause harmful inflammation in areas of the brain responsible for mood.
Such inflammation leads to neural changes related to anxiety and depression. It could very well be a negative feedback loop, where eating junk food makes you depressed, which leads you to comfort yourself with more crappy food, which makes you feel even worse.
Bottom line: Use unsaturated fats like olive oil in lieu of butter when possible, and choose foods without a ton of sugar. And lay off the Krispy Kremes.