This paper examines the relationships among reports of depressive symptoms, BMI and frequency of consumption of 30 foods in 4655 middle-aged women. Food was grouped into three categories: high-calorie sweet, high-calorie nonsweet, and low-calorie. Controlling for total energy intake, BMI and depressive symptoms were both inversely associated with a higher frequency of consumption of low-calorie foods. BMI was positively associated with consumption of high-calorie nonsweet foods and negatively related to consumption of high-calorie sweet foods. Depressive symptoms were positively associated with sweet foods consumption and negatively associated with nonsweet foods consumption. These findings suggest that the positive association between BMI and depression in women may be mediated by sweets consumption. This is consistent with the hypothesis that eating sweet foods reduces negative affect.