The association between major depressive disorder (MDD) and obesity was assessed in 4,150 US adolescents aged 12–19 years from the 2001–2004 National Health and Nutrition Examination Survey. Weight and height were measured by health professionals and MDD was based on a structured diagnostic interview. The prevalence of MDD in the past year among US adolescents was 3.2% and 16.8% of US adolescents were obese. After adjustment for sex, age, race/ethnicity and poverty, MDD was not significantly associated with obesity among adolescents overall (adjusted odds ratio (adjOR) = 1.6, 95% confidence interval (CI) = 0.9–2.9), but an increased odds of obesity was observed among males (adjOR = 2.7, 95% CI = 1.1–7.1) and non-Hispanic blacks (adjOR = 3.1, 95% CI = 1.1–8.3) with MDD. Future research on strategies that might reduce the risk of obesity in males and non-Hispanic black adolescents with MDD may be warranted.