Depression is a prominent feature in fibromyalgia syndrome. Patients with fibromyalgia syndrome who are obese, with poor sleep quality, and those who have recurrent episodes of binge eating are at greater risk to develop depression. The aim of this cross-sectional study was to examine the hypothesis that the relationship between obesity and depression in patients with primary fibromyalgia syndrome is mediated by poor sleep, binge eating disorder (BED), and weight and shape concern. This study included 131 patients with primary fibromyalgia syndrome. Participants completed the following questionnaires: Pittsburgh Sleep Quality Index, Beck Depression Inventory-II, Eating Disorder questionnaire, and Fibromyalgia Impact Questionnaire. Body mass index (BMI) provided the primary indicator of obesity. Sobel test showed that the conditions for complete mediation were satisfied on the weight and shape concern as mediator between BMI and depression because the association between BMI and depression score became insignificant after controlling of weight and shape concern. However, since the association between BMI and depression remained significant after BED and poor sleep score were controlled, thus for both mediators, the conditions for partial mediation on the depression were satisfied. The findings suggest that in patients with primary fibromyalgia syndrome, weight and shape concern, BED, and poor sleep quality are important mediators of the relationship between obesity and depression. We suggest that a greater focus on these mediators in depression treatment may be indicated.