Prior observational studies have investigated the association between obesity and depression but evidence remains weak and mixed. There has been a call for high-quality longitudinal studies to elucidate the etiologic relationship from obesity to depression. The main objective of this study was therefore to investigate whether obesity was a risk factor for depression in a nationally representative sample followed for 12 years. Seven waves of data collection (1994–1995 to 2006–2007) were obtained from the National Population Health Survey (NPHS). Our analyses included 10,545 adults without depression at baseline. Past-year major depression episode (MDE) was assessed from the Composite International Diagnostic Interview-Short Form for Major Depression (CIDI-SFMD). Obesity was estimated using baseline BMI from self-reported weight and height (obesity: BMI ≥30 kg/m2). Kaplan–Meier survival curves were generated and Cox proportional hazard regression modeling was used to estimate the risk of MDE by obesity status, controlling for sociodemographic and health and lifestyle variables. We found that obesity at baseline did not significantly predict subsequent MDE in women (adjusted hazard ratio (AHR): 1.03, 95% confidence interval (CI) 0.84–1.26) and negatively predicted MDE in men (HR: 0.71, CI 0.51–0.98), after adjusting for important confounders. In summary, our findings suggest that obesity is a significant (negative) predictor of depression in adult men but not in women. These results moderate prior evidence supporting a positive link from obesity to depression.