Here is a link that might help.. https://www.livewelldorset.co.uk/faq/lose-weight/how-does-food-affect-mental-health/

"Fast food is typically high in saturated fats, trans fats, and omega-6 fatty acids. While in smaller doses, some of these fats are beneficial and, in fact, necessary for brain function, an excess can trigger an inflammatory response. The inflammation has links to anxiety and depression from past research."

https://www.latimes.com/food/sns-dailymeal-1863330-healthy-eating-fast-food-mental-distress-study-121817-20171218-story.html

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TL;DR the fats and chemicals in the fast food can trigger an inflammatory response which is linked to mental health issues.