Research is needed to better elucidate the relationship between obesity and depression, which has been most consistently demonstrated for women, but not for men. We examined exclusively a population-based sample of US women who participated in the 2005 or 2006 National Health and Nutritional Examination Survey. Current depression was defined as having a score of ≥10 (a conventional threshold for moderate symptoms of depression) or meeting the Diagnostic and Statistical Manual of Mental Disorders, 4th edition (DSM-IV) diagnostic criteria for major depression on the nine-item Patient Health Questionnaire. Weight and height were measured and BMI was calculated. Waist circumference, a clinical measure of abdominal obesity, was also measured. BMI was positively associated with the probability of moderate/severe depressive symptoms (r = 0.49, P = 0.03) and major depression (r = 0.72, P < 0.0001). The probability curves increased progressively, beginning at BMI of 30. Degree of obesity was an independent risk factor for depression even within the obese population, and women in obesity class 3 (BMI ≥40) were at particular risk (odds ratio (OR) = 4.91, 95% confidence interval (CI): 1.17–20.57), compared to those in obesity class 1 (BMI 30 to <35). Abdominal obesity was positively associated with depressive symptoms, but not major depression, independent of general obesity (BMI). In addition to severe obesity, compromised physical health status, young or middle-aged adulthood, low income, and relatively high education were also independently associated with greater odds of depressive symptoms among obese women. These characteristics may identify specific at-risk subgroups of obese women in which hypothesized causal pathways and effective preventive and therapeutic interventions can be profitably investigated.