Objectives <p>This study aimed to investigate the cross-sectional and longitudinal relationship between BMI and depressive symptoms among adults aged over 45 and further explore the mediating role of metabolic syndrome.</p> Subjects/methods <p>Our data were drawn from the China Health and Retirement Longitudinal Study. BMI was categorized into: underweight (≤18.5 kg/m²), healthy weight (18.5–23.0 kg/m²), overweight (23.0–27.5 kg/m²), and obesity (≥27.5 kg/m²). The Group-based trajectory modeling was used to identify trajectories of depressive symptoms. The logistic regression models were performed to estimate the odds ratio (OR) and 95% confidence intervals (95% CI) between BMI and depressive symptoms.</p> Results <p>A total of 13,422 participants were enrolled in the cross-sectional analysis and 10,136 individuals were included in the longitudinal study. Two trajectories of depressive symptoms were identified: low-stable trajectory and high-ascending trajectory. Individuals with underweight exhibited higher risks of depressive symptoms (OR = 1.20, 95% CI: 1.01–1.43) and were more likely to follow the high-ascending trajectory (OR = 1.29, 95% CI: 1.04–1.61) compared with those with healthy weight. Conversely, participants with overweight and obesity had reduced risks of depressive symptoms (overweight: OR = 0.87, 95% CI: 0.80–0.95; obesity: OR = 0.83, 95% CI: 0.74–0.94) and were less likely to follow the high-ascending trajectory (overweight: OR = 0.85, 95% CI: 0.76–0.95; obesity: OR = 0.85, 95% CI: 0.72–0.99). Furthermore, metabolic syndrome accounted for 31.87% of the association between BMI and depressive symptoms and 50.60% of the association between BMI and depressive symptom trajectory.</p> Conclusions <p>Underweight was a risk factor for depressive symptoms and high-ascending trajectory of depressive symptoms. Medical professionals should pay attention to the mental status of middle-aged and older adults with underweight and interventions of improving metabolic syndrome could protect mental health.</p>