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The association between body size, weight change and depression has not been systematically summarised, especially for individuals who are underweight.To conduct a systematic review and a meta-analysis to examine the association between indices of body size, weight change and depression.A total of 183 studies were selected. Fully adjusted hazard ratios (HRs) or odds ratios (ORs) were extracted. A total of 76 studies contributed to data synthesis with a random-effect model, and subgroup analyses were conducted to evaluate the effect of potential moderators.In cohort studies, underweight at baseline increased the risk of subsequent depression (OR = 1.16, 95% CI 1.08–1.24). Overweight (BMI 25–29.9 kg/m2) showed no statistically significant relationship with depression overall; however, the subgroup analyses found different results according to gender (men: OR = 0.84, 95% CI 0.72–0.97, women: OR = 1.16, 95% CI 1.07–1.25). In cross-sectional designs, obesity with BMI >40 kg/m2 showed a greater pooled odds ratio than obesity with BMI >30 kg/m2.Both underweight and obesity increase the risk of depression. The association between overweight and depression differs by gender.