Background <p>A bidirectional relationship between obesity and depression is reported; racial and sex inequities may contribute to this relationship in low- and middle-income countries.</p> Methods <p>Cross-sectional study with data from 2019 Pesquisa Nacional de Saude (Brazilian National Health Survey), aiming to investigate the association of obesity and the intersection between depression, sex, and race/skin color in Brazilian adults (<i>n</i> = 87,497). Depression was investigated using the Patient Health Questionnaire-9 and obesity by the Body Mass Index (BMI ≥ 30&#xa0;kg/m²). Sex and race/skin color were analyzed separately and combined: white men; white women; black men; black women. <i>Odds Ratios</i> (OR) were estimated using Logistic regression models adjusted by sociodemographic data. Obesity was the outcome, while depression and its intersections with sex and race/skin color were explanatory variables. Individuals without depression were the reference group in all models.</p> Results <p>Depression prevalence was 10.8%, and obesity prevalence was 21.3%. Depression was associated with a higher chance of presenting obesity in the total population (OR:1.37; <i>p</i> &lt; 0.001). Women with depression had higher chance to present obesity (OR:1.55; <i>p</i> &lt; 0.001) compared to those without depression. Black individuals with depression (OR:1.37; <i>p</i> &lt; 0.001) and white individuals with depression (OR:1.38; <i>p</i> &lt; 0.001) had similar higher chances to present obesity. Considering the intersection between sex and race/skin color, compared to individuals without depression, black women with depression presented 59% higher chance of obesity (OR:1.59; <i>p</i> &lt; 0.001), followed by white women with depression (OR:1.50; <i>p</i> &lt; 0.001).</p> Conclusions <p>Depression was associated with an increased chance of obesity with this relationship varying by sex and race/skin color. The strongest association was observed among black women.</p>