A bidirectional relationship between obesity and depression may exist, though previous results are conflicting. The objectives of our study were to determine whether there is a bidirectional relationship between obesity and symptoms of depression in younger adults and whether this relationship varies with sociodemographic factors. We used data from 7,980 participants in the National Longitudinal Survey of Youth 1979 to examine whether baseline depressive symptoms (score ≥ 10 on a seven-item subscale of the CES-D) in 1992, predicted adjusted percent change in BMI between 1992 and 1994. We then examined whether obesity in 1992 predicted the development of symptoms of depression in 1994, after adjustment for confounders. We found that the presence of baseline depressive symptoms was not prospectively associated with increase in percent BMI, except in Hispanic women. Additionally, baseline obesity was not associated with higher risk of future symptoms of depression in the sample overall (adjusted risk ratio (RR) 1.20; 99% CI 0.91–1.60). However, in those of higher socioeconomic status, obesity was associated with almost double the risk of depressive symptoms compared to nonobese (highest income category: adjusted RR 1.97; 99% CI 1.14–3.40). We concluded that although obesity was not associated with risk of depression symptoms in the population overall, obesity was associated with an increased risk of developing depressive symptoms in those of higher socioeconomic status. Sociodemographic factors may be important modifiers of the relationship between obesity and depression.