Objective Depression and obesity are two conditions with great impact over global health. This is mainly due to their high prevalence and the morbidity and mortality associated to both. The main aim of the present systematic review is to study the association between obesity and depression and the prognostic implications derived from it. Methods A literature review was performed in the PUBMED database. 18 articles were found (9 cross-sectional studies, 6 longitudinal studies and 3 clinical trials), which were reviewed by critical reading after which a summary of the main conclusions was written. Results These selected articles confirmed that there is indeed a link between depression and obesity, although there are doubts as to the significance of this relationship. Depression is a risk factor for obesity, especially atypical depression and in African-American adolescent males. Obesity is a risk factor for depression, especially in women and for recurrent depressive disorder. The comorbidity between obesity and depression is a risk factor for a bad prognosis illness. Conclusion The relationship between both disorders has been analysed in scientific literature, obtaining significant associations but also contradictory results. The most current data demonstrates that there is a relationship between both entities, although there is no unanimity when it comes to establishing the meaning of this association.