Depression and obesity are both common disorders currently affecting public health, frequently occurring simultaneously within individuals, and the relationship between these disorders is bidirectional. The association between obesity and depression is highly co-morbid and tends to significantly exacerbate metabolic and related depressive symptoms. However, the neural mechanism under the mutual control of obesity and depression is largely inscrutable. This review focuses particularly on alterations in systems that may mechanistically explain the in vivo homeostatic regulation of the obesity and depression link, such as immune-inflammatory activation, gut microbiota, neuroplasticity, HPA axis dysregulation as well as neuroendocrine regulators of energy metabolism including adipocytokines and lipokines. In addition, the review summarizes potential and future treatments for obesity and depression and raises several questions that need to be answered in future research. This review will provide a comprehensive description and localization of the biological connection between obesity and depression to better understand the co-morbidity of obesity and depression.