Major depressive disorder (MDD) and obesity are dominant and inter-related health burdens. Obesity is a risk factor for MDD, and there is evidence MDD increases risk of obesity. However, description of a bidirectional relationship between obesity and MDD is misleading, as closer examination reveals distinct unidirectional relationships in MDD subtypes. MDD is frequently associated with weight loss, although obesity promotes MDD. In contrast, MDD with atypical features (MDD-AF) is characterised by subsequent weight gain and obesity. The bases of these distinct associations remain to be detailed, with conflicting findings clouding interpretation. These associations can be viewed within a systems biology framework—the psycho-immune neuroendocrine (PINE) network shared between MDD and metabolic disorders. Shared PINE subsystem perturbations may underlie increased MDD in overweight and obese people (obesity-associated depression), while obesity in MDD-AF (depression-associated obesity) involves more complex interactions between behavioural and biomolecular changes. In the former, the chronic PINE dysfunction triggering MDD is augmented by obesity-dependent dysregulation in shared networks, including inflammatory, leptin-ghrelin, neuroendocrine, and gut microbiome systems, influenced by chronic image-associated psychological stress (particularly in younger or female patients). In MDD-AF, behavioural dysregulation, including hypersensitivity to interpersonal rejection, fundamentally underpins energy imbalance (involving hyperphagia, lethargy, hypersomnia), with evolving obesity exaggerating these drivers via positive feedback (and potentially augmenting PINE disruption). In both settings, sex and age are important determinants of outcome, associated with differences in emotional versus cognitive dysregulation. A systems biology approach is recommended for further research into the pathophysiological networks underlying MDD and linking depression and obesity.