Objective: Obesity has been shown to increase risk of depression. Persons with obesity experience discrimination because of their body weight. Across 3 studies, we tested for the first time whether experiencing (perceived) weight-based discrimination explains why obesity is prospectively associated with increases in depressive symptoms. Method: Data from 3 studies, including the English Longitudinal Study of Ageing (2008/2009–2012/2013), the Health and Retirement Study (2006/2008–2010/2012), and Midlife in the United States (1995/1996–2004/2005), were used to examine associations between obesity, perceived weight discrimination, and depressive symptoms among 20,286 U.S. and U.K. adults. Results: Across all 3 studies, Class II and III obesity were reliably associated with increases in depressive symptoms from baseline to follow-up. Perceived weight-based discrimination predicted increases in depressive symptoms over time and mediated the prospective association between obesity and depressive symptoms in all 3 studies. Persons with Class II and III obesity were more likely to report experiencing weight-based discrimination, and this explained approximately 31% of the obesity-related increase in depressive symptoms on average across the 3 studies. Conclusion: In U.S. and U.K. samples, the prospective association between obesity (defined using body mass index) and increases in depressive symptoms in adulthood may in part be explained by perceived weight discrimination.