Studies have suggested both adverse and protective associations of obesity with depressive symptoms. We examined the contribution of environmental and heritable factors in this association. Participants were same-sex twin pairs from two population-based twin cohort studies, the Older Finnish Twin Cohort (n = 8,215; mean age = 44.1) and the US Midlife Development in the United States (MIDUS; n = 1,105; mean age = 45.1). Body mass index (BMI) was calculated from self-reported height and weight. Depressive symptoms were assessed using Beck's Depression Inventory (BDI; Finnish Twin Cohort), and by negative and positive affect scales (MIDUS). In the Finnish Twin Cohort, higher BMI was associated with higher depressive symptoms in monozygotic (MZ) twins (B = 2.01, 95% CI = 1.0, 3.0) and dizygotic (DZ) twins (B = 1.17, 0.5, 1.9) with BMI >22. This association was observed in within-pair analysis in DZ twins (B = 1.47, CI = 0.4, 2.6) but not in within-pair analysis of MZ twins (B = 0.03, CI = -1.9, 2.0). Consistent with the latter result, a bivariate genetic model indicated that the association between higher BMI and higher depressive symptoms was largely mediated by genetic factors. The results of twin-pair analysis and bivariate genetic model were replicated in the MIDUS sample. These findings suggest an association between obesity and higher depressive symptoms, which is largely explained by shared heritable biological mechanisms.