Obesity is associated with an increased risk of depression. The aim of the present study was to investigate whether obesity is a causative factor for the development of depression and what is the molecular pathway(s) that link these two disorders. Using lipidomic and transcriptomic methods, we identified a mechanism that links exposure to a high-fat diet (HFD) in mice with alterations in hypothalamic function that lead to depression. Consumption of an HFD selectively induced accumulation of palmitic acid in the hypothalamus, suppressed the 3', 5'-cyclic AMP (cAMP)/protein kinase A (PKA) signaling pathway, and increased the concentration of free fatty acid receptor 1 (FFAR1). Deficiency of phosphodiesterase 4A (PDE4A), an enzyme that degrades cAMP and modulates stimulatory regulative G protein (Gs)-coupled G protein-coupled receptor signaling, protected animals either from genetic- or dietary-induced depression phenotype. These findings suggest that dietary intake of saturated fats disrupts hypothalamic functions by suppressing cAMP/PKA signaling through activation of PDE4A. FFAR1 inhibition and/or an increase of cAMP signaling in the hypothalamus could offer potential therapeutic targets to counteract the effects of dietary or genetically induced obesity on depression.