Obesity may lead to depression or be one of its consequences. We reviewed population-based studies in order to, first, identify the most commonly used research methods, and, second, to evaluate the strength of evidence for prospective associations among obesity and depression. We examined 25 studies, of which 10 tested ‘obesity-to-depression’ pathways, and 15 tested ‘depression-to-obesity’ pathways. Descriptive statistics summarized the frequency with which various measurements, designs and data analytic strategies were used. We tallied the number of studies that reported any vs. no statistically significant associations, and report on effect sizes, identified moderating variables within reports, and sought common findings across studies. Results indicated considerable methodological heterogeneity in the literature. Depression was assessed by clinical interview in 44% of studies, weight and height were directly measured in 32%, and only 12% used both. In total, 80% of the studies reported significant obesity-to-depression associations, with odds ratios generally in the range of 1.0 to 2.0, while only 53% of the studies reported significant depression-to-obesity associations. Sex was a common moderating variable. Thus, there was good evidence that obesity is prospectively associated with increased depression, with less consistent evidence that depression leads to obesity. Recommendations for future research regarding study samples, measurement and data analysis are provided.