Adolescent obesity and depression are increasingly prevalent and are currently recognised as major public health concerns worldwide. The aim of this study is to evaluate the bi-directional associations between obesity and depression in adolescents using longitudinal studies. A systematic literature search was conducted using Pubmed (including Medline), PsycINFO, Embase, CINAHL, BIOSIS Preview and the Cochrane Library databases. According to the inclusion criteria, 13 studies were found where seven studies evaluated depression leading to obesity and six other studies examined obesity leading to depression. Using a bias-adjusted quality effects model for the meta-analysis, we found that adolescents who were depressed had a 70% (RR 1.70, 95% CI: 1.40, 2.07) increased risk of being obese, conversely obese adolescents had an increased risk of 40% (RR 1.40, 95% CI: 1.16, 1.70) of being depressed. The risk difference (RD) of early adolescent depression leading to obesity is 3% higher risk than it is for obesity leading to depression. In sensitivity analysis, the association between depression leading to obesity was greater than that of obesity leading to depression for females in early adulthood compared with females in late adolescence. Overall, the findings of this study suggest a bi-directional association between depression and obesity that was stronger for female adolescents. However, this finding also underscores the importance of early detection and treatment strategies to inhibit the development of reciprocal disorders.