This study tested whether a dichotomous thinking style moderates the association of depression with body mass, and investigated the effect of dichotomous thinking and depression on weight loss during a cognitive behavioural therapy (CBT) intervention. Overweight and obese females (n=76) participated in CBT for weight management for 12 weeks. Before treatment, dichotomous thinking moderated the association of depression with BMI, such that depression was positively associated with BMI among those with low dichotomous thinking, but was not associated among those with high dichotomous thinking. Weight loss was negatively associated with pre-treatment depression and frequency of treatment attendance, but not with dichotomous thinking. Females who regard their weight as unacceptably high and who think dichotomously may experience high levels of depression irrespective of their actual weight, while depression may be proportionate to the degree of obesity among those who do not think dichotomously. Depression, but not dichotomous thinking, is likely to interfere with the ability to adhere to short-term weight loss strategies.