Hypothesis:
I think a high fat diet promotes 'bad' bacteria in the bowel and inhibits 'good' bacteria such as bifidobacteria. The bad bacteria cause 'leaky gut' and allow LPS to cross the bowel/blood barrier. This translocation of LPS provokes an immune response, triggering the release of pro-inflammatory cytokines which travel to the brain and cause brain fog and depression.
Consuming a bifidobacterial probiotic such as Align, and/or taking a pro-bifido prebiotic such as Bimuno may reduce bad bacteria, repair the leaky gut and inhibit the translocation of LPS, leading to a reduction in brain fog and depression. Of course reducing fat in the diet would also be a good idea.