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Depression and obesity are very common pathologies. Both cause significant problems of both morbidity and mortality and have decisive impacts not only on the health and well-being of patients, but also on socioeconomic and health expenditure aspects. Many epidemiological studies, clinical studies and meta-analyses support the association between mood disorders and obesity in relationships to different conditions such as the severity of depression, the severity of obesity, gender, socioeconomic status, genetic susceptibility, environmental influences and adverse experiences of childhood. Currently, both depression and obesity are considered pathologies with a high-inflammatory impact; it is believed that several overlapping factors, such as the activation of the cortico-adrenal axis, the exaggerated and prolonged response of the innate immune system and proinflammatory cytokines to stress factors and pathogens—as well as alterations of the intestinal microbiota which promote intestinal permeability—can favor the expression of an increasingly proinflammatory phenotype that can be considered a key and common phenomenon between these two widespread pathologies. The purpose of this literature review is to evaluate the common and interacting mechanisms between depression and obesity.