EPA is a long-chain omega-3 fatty acid commonly found in fish oil and may help with depressive symptoms. Most regular fish oil products contain a mixture of EPA and DHA (docosahexaenoic acid), which is another long-chain omega-3 fatty acid. Most studies show an antidepressant effect of EPA but not of DHA and that consuming both (as in regular fish oil) probably doesn't improve depression. For this reason, I recommend to some of my patients to consider supplementing with an EPA-only product (or one that contains very low levels of DHA). The usual dose is 1 gram per day.
Here are some studies which show a benefit of EPA in depression:
Here are some products on Amazon which contain a high level of EPA and low level of DHA. I am not affiliated with any of these products: