Purpose: To examine the association between obesity and depressed mood in a large multi-ethnic population and check for consistency in this association across six ethnic groups. Methods: Data of 21,030 persons (18–70 years) were sourced from the HELIUS study. Cross-sectional relationships between obesity measures [body mass index (kg/m2) and waist circumference (cm)] and depressed mood (PHQ-9 score ≥ 10) were analysed. Consistency of associations was investigated across ethnic groups by interaction terms (ethnicity*obesity measures) in basic (age, sex, education) and fully (health behaviours and somatic health) adjusted models. Results: Obesity was prevalent in all ethnic groups, but varied substantially. After sociodemographic adjustment, obesity measures were associated with increased odds of depressed mood but this was inconsistent across ethnic groups. Obesity (BMI ≥ 30 or highest waist circumference quartile) was strongly and significantly associated with depressed mood in the Dutch [Odds Ratio (OR) = 1.72; 95% Confidence intervals (CI) 1.24–2.40, and OR = 1.86; 95% CI 1.38–2.50], respectively, and African Surinamese (OR = 1.60; 95% CI 1.29–1.98 and OR = 1.59; 95% CI 1.27–2.00, respectively) but had a weaker, non-significant association in other ethnic groups (South-Asian Surinamese, Ghanaian, Moroccan, Turkish groups). Adjustment for health behaviours and somatic health had limited effect on this pattern. Conclusion: Obesity was associated with a higher risk of depressed mood. However, ethnic differences were found: the obesity-depressed mood association was strong in the Dutch and African Surinamese populations, but not in other ethnic groups. Future studies should explore whether differential normative values or pathophysiology across ethnic groups explain why the obesity-depression association is inconsistent across ethnic groups.