Obesity and depression are two major public health concerns that involving a huge population around the world. This study investigates the mutual causality relation between obesity and depression for both males and females. Data for this study are drawn from the 2013 Behavioral Risk Factor Surveillance System (BRFSS), and an ordered probability simultaneous equation system is developed to accommodate the ordinal nature of body weight categories and its relation to depression. Results suggest body weight is positively associated with the risk to be depressed while depression in return, has positive effects on body weight for both males and females, and females are more sensible to the effects of depression on body weight. In addition, socio-demographic factors are found to vary significantly between gender, and factors of age, income, race, education, employment, marriage and health status play important roles in affecting body weight.