Obesity is a serious and prevalent condition, with grave risks for morbidity and mortality. While the physical consequences of obesity have been well studied, the psychological correlates are less well understood. Theory and research suggest that obesity and depression may be causally linked. We propose a bidirectional theoretical model identifying the behavioral, cognitive, physiological, and social mechanisms that may be responsible for the pathway between obesity and depression, and vice versa. We investigate the research that supports this model, and identify areas of need for future research. In addition, we discuss the clinical implications of this literature, including the need for integrated care in this population.