Depression and obesity are common conditions with major public health implications that tend to co-occur within individuals. The relationship between these conditions is bidirectional: the presence of one increases the risk for developing the other. It has thus become crucial to gain a better understanding of the mechanisms responsible for the intertwined downward physiological spirals associated with both conditions. The present review focuses specifically on shared biological pathways that may mechanistically explain the depression–obesity link, including genetics, alterations in systems involved in homeostatic adjustments (HPA axis, immuno-inflammatory activation, neuroendocrine regulators of energy metabolism including leptin and insulin, and microbiome) and brain circuitries integrating homeostatic and mood regulatory responses. Furthermore, the review addresses interventional opportunities and questions to be answered by future research that will enable a comprehensive characterization and targeting of the biological links between depression and obesity.