Fatty 'Comfort' Foods May Alter Brain's Response to Sadness - US News and World Report
Study subject fed fat directly to their stomachs via a tube experienced less sadness than those fed a saline solution.
So yeah, there's something to the comfort food theory. Use causation though, the researchers suggest that the more overeat fat to get the feel good response the more fat we have to consume to make the comfort feeling occur.
Same as usual; overeating not good!