Accumulating evidence supports a link between depression and being overweight in women. Given previously reported sex differences in fat accumulation and depression prevalence, as well as the likely role of sex hormones in both overweight and mood disorders, we hypothesised that the depression-overweight association may be mediated by sex hormones. To this end, we investigated the association of being overweight with depression, and then considered the role of sex hormones in relation to being overweight and depression in a large population-based cohort. We included a total of 3124 women, 970 premenopausal and 2154 postmenopausal from the LIFE-Adult cohort study in our analyses. We evaluated associations between being overweight (BMI >25 kg/m2), sex hormone levels, and depressive symptomatology according to Centre for Epidemiologic Studies Depression (CES-D) scores, and explored mediation of depression in a mediation model. Being overweight was significantly associated with depressive symptoms in premenopausal but not postmenopausal women. Both premenopausal and postmenopausal overweight women had higher free testosterone levels compared with normal weight women. Premenopausal women with depressive symptomatology had higher free testosterone levels compared to women without. We found a significant mediation effect of depressive symptomatology in overweight premenopausal women through free testosterone level. These findings highlight the association between being overweight and depressed, and suggest that high free testosterone levels may play a significant role in depression of overweight premenopausal women. Based on this, pharmacological approaches targeting androgen levels in overweight depressed females, in particular when standard anti-depressive treatments fail, could be of specific clinical relevance.