Depression is a foremost cause of morbidity throughout the world and the prevalence of depression in women is about twice as high as men. Additionally, overweight and obesity are major global health concerns. We explored the relationship between depression and body fat, and the role of physical activity and diet as mediators of this relationship in a sample of 456 adult female Mexican health workers. Longitudinal and cross-sectional analyses using data from adult women of the Health Workers Cohort Study (HWCS) Measures of body fat mass (kg from DEXA), dietary intake (kcal from FFQ), leisure time activity (METs/wk) and depression (CES-D) were determined in two waves (2004-2006 and 2010-2011). We explored the interrelation between body fat, diet, leisure time, physical activity, and depression using a cross-lagged effects model fitted to longitudinal data. We also fitted a structural equations model to cross-sectional data with body fat as the main outcome, and dietary intake and physical activity from leisure time as mediators between depression and body fat. Baseline depression was significantly related to higher depression, higher calorie intake, and lower leisure time physical activity at follow-up. From our cross-sectional model, each standard deviation increase in the depression score was associated with an average increase of 751 ± 259 g (± standard error) in body fat through the mediating effects of calorie intake and physical activity. The results of this study show how depression may influence energy imbalance between calories consumed and calories expended, resulting in higher body fat among those with a greater depression score. Evaluating the role of mental conditions like depression in dietary and physical activity behaviors should be positioned as a key research goal for better designed and targeted public health interventions. The HealthWorkers Cohort Study (HWCS) has been approved by the Institutional IRB. Number: 2005-785-012.