Obesity is one of the leading causes of preventable diseases and disability worldwide, and depression is among the leading causes of burden of disease. Both disorders are increasingly prevalent and comorbid. This comorbidity compounds associated health. While there is consistent evidence of a bidirectional obesity depression relationship, little is known about the biopsychosocial variables associated with this relationship. A systematic review was undertaken to identify variables associated with the relationship between obesity (Body mass index > 30 kg m−2) and depression. Forty-six studies were identified. Obesity, educational attainment, body image, binge eating, physical health, psychological characteristics and interpersonal effectiveness were consistently associated with the relationship between obesity and depression. The current review identified potential biopsychosocial variables associated with the relationship between obesity and depression. This knowledge can inform future research examining moderators, mediators and mechanisms of the relationship between obesity and depression. Improved understanding of this relationship will inform identification, prevention and intervention efforts.