Obesity is highly co-morbid with anxiety and/or depression in children, conditions that may further worsen the metabolic and cardiovascular risks for obese individuals. Dysregulation of the hypothalamic-pituitary-adrenal axis is involved in the pathophysiology of anxiety disorders, depression, and obesity, and diverse cortisol concentrations may be found in obese children, depending on their degree of psychological distress. The aim of this study was to examine cortisol profiles among obese children with or without symptoms of anxiety and depression. A group of 128 children (53% females; mean age ± SD: 11.2 ± 2.2 years) derived from a pediatric obesity clinic were studied. Anxiety and depressive symptomatology were assessed with appropriate instruments. Morning serum and five diurnal salivary cortisol concentrations were measured. Obese children were 3.1/2.3 times more likely to report state and trait anxiety, respectively, and 3.6 times more likely to report depressive symptoms than children of the same age group, from a contemporary Greek sample. Trait anxiety and noon salivary cortisol concentrations were significantly positively correlated (p = 0.002). Overall, salivary cortisol concentrations were increased in children with anxiety or depression symptomatology compared to obese children without any affective morbidity (p = 0.02) and to those with anxiety and depression co-morbidity (p = 0.02). In conclusion, in obese children, emotional distress expressed by symptoms of anxiety and/or depression is associated with circadian cortisol profiles reflecting a potential pathway for further morbidity. Longitudinal studies may reveal a role of cortisol in linking obesity, anxiety, and depression to the development of further psychological and physical morbidity.