Ketogenic diets have been prescribed for people with seizure disorders ("epilepsy") for decades. Given some psychological disorders are also treated with anti-convulsants, it's speculative, but a high fat diet causes a lot of physiological and hormonal (testosterone/cortisol leveks) changes that the possibility of it affecting brain function doesn't seem ridiculous.

Someone with high anxiety who has not tried strenuous exercise with a high fat/protein low carb diet would seem to be leaving opportunity on the table as well.