Background: Obesity and depression co-occur in a significant proportion of the population. Mechanisms linking the two disorders include the immune and the endocrine system, psychological and social mechanisms. The aim of this systematic review was to ascertain whether weight loss through dietary interventions has the additional effect of ameliorating depressive symptoms in obese patients. Methods: We systematically searched three databases (Pubmed, Medline, Embase) for longitudinal clinical trials testing a dietary intervention in people with obesity and depression or symptoms of depression. Results: Twenty-four longitudinal clinical studies met the eligibility criteria with a total of 3244 included patients. Seventeen studies examined the effects of calorie-restricted diets and eight studies examined dietary supplements (two studies examined both). Only three studies examined people with a diagnosis of both obesity and depression. The majority of studies showed that interventions using a calorie-restricted diet resulted in decreases in depression scores, with effect sizes between ≈0.2 and ≈0.6. The results were less clear for dietary supplements. Conclusions: People with obesity and depression appear to be a specific subgroup of depressed patients in which calorie-restricted diets might constitute a promising personalized treatment approach. The reduction of depressive symptoms may be related to immunoendocrine and psychosocial mechanisms.