Epidemiological data indicate that subjects affected by obesity have an increased risk of developing mood disorders. The relationship between obesity and mood disorders is bidirectional. We assessed whether a Hericium erinaceus treatment improved depression, anxiety, sleep, and binge eating disorders after 8 weeks of supplementation in subjects affected by overweight or obesity under a low calorie diet regimen. Looking for a possible clinical biomarker, we assessed the serum balance between brain-derived neurotrophic factor (BDNF) and its precursor pro-BDNF before and after H. erinaceus supplementation. Seventy-seven volunteers affected by overweight or obesity were recruited at the offices of the Department of Preventive Medicine, Luigi Devoto Clinic of Work, Obesity Centre, at the IRCCS Foundation Policlinico Hospital of Milan (Italy). Patients were recruited only if they had a mood and/or sleep disorder and/or were binge eating as evaluated through self-assessment questionnaires. We used two different enzyme-linked immunosorbent assays kits to discriminate circulating levels of pro-BDNF and BDNF. Eight weeks of oral H. erinaceus supplementation decreased depression, anxiety, and sleep disorders. H. erinaceus supplementation improved mood disorders of a depressive-anxious nature and the quality of the nocturnal rest. H. erinaceus increased circulating pro-BDNF levels without any significant change in BDNF circulating levels.