To: (a) extend previous research on the association between overweight status and depressive symptoms among adults to adolescents, (b) consider whether this association varies across social structural contexts and school context, and (c) explore additional mechanisms linking overweight status to depressive symptoms. We used survey regression procedures to analyze data from the first wave of the National Longitudinal Study of Adolescent Health. Degree of overweight was indicated by body mass index (BMI), which we calculated using self-reported height and weight information, whereas depressive symptoms were assessed with the Center for Epidemiological Studies Depression Scale (CES-D). Data were analyzed to determine (a) the social groups in which being overweight was least common, (b) the association between overweight status and depressive symptoms, and (c) potential mediators of the association between relative weight and symptoms of depression, including dieting and self-rated health. The analytic sample contained 18,924 adolescents aged 11 to 21 years (mean age was 15.68). Approximately half the sample consisted of females (n = 9634). Adjusting for exercise and sociodemographic characteristics, we found that relative weight was associated with depressive symptoms for girls but not boys. For both, the association between overweight status and symptoms of depression was stronger among adolescents in lower grades. Dieting explained the positive association between relative weight and depressive symptoms for girls, whereas self-rated health mediated the association between relative weight and symptoms of depression for adolescents in lower grades. To fully understand both the physical and mental health consequences of adolescent obesity, the social dimension of weight must be examined.