Objective Examine relations between depressive symptoms, ethnic identity, and health-related quality of life (HRQOL) in overweight or obese (OV/OB) children. Methods A total of 166 OV/OB 8- to 17-year-olds (M = 12.94 years; 86.7% obese; 50.6% racial/ethnic minority) attending an outpatient pediatric obesity medical clinic participated. Children completed the Children’s Depression Inventory–Short Form, Multigroup Ethnic Identity Measure (MEIM), and Pediatric Quality of Life Inventory. Results Increased depressive symptoms significantly predicted reduced total, physical, and psychosocial HRQOL. For minority OV/OB youth only, MEIM Affirmation/Belonging moderated depressive symptoms and total HRQOL (effect = −2.59, t = −2.24, p = .027; R2 overall model = 0.315) and depressive symptoms and psychosocial HRQOL (effect = −3.01, t = −2.47, p = .015; R2 overall model = 0.331). Conclusions Depressive symptoms are negatively associated with HRQOL. In minority OV/OB youth, high ethnic identity may be protective when depressive symptoms are minimal. Ethnic identity and other cultural factors are important to consider in psychosocial treatments for pediatric obesity.