We examined the controversial relationship between obesity and depression among Chinese people aged 45 and over using data from the 2013 follow-up survey of the China Health and Retirement Longitudinal Study (CHARLS). Depressive symptoms were measured using the CES-D 10; overweight and obesity were defined using WHO, Asian and Chinese criteria. The proportion of depressive symptoms was 19.9% and 33.2% in men and women, respectively. Depressive symptoms decreased as BMI increased in both men and women (P < 0.05). Obese women were less likely to suffer from depressive symptoms than normal weight women according to WHO, Asian and Chinese criteria (P < 0.05). Obese men were less likely to suffer from depressive symptoms than normal weight men under the Chinese criteria (P < 0.05). The results indicate that there is an inverse association between obesity and depressive symptoms among Chinese men and women, supporting the "jolly fat" hypothesis in China, and suggest that individuals and medical providers should pay attention to underweight as well as obesity. In addition, our study illustrates the importance of establishing appropriate obesity cut-off points for individual countries.