Depression is often associated with weight gain but underlying mechanisms are unclear. This study assessed whether three psychological eating styles (emotional eating, external eating and restrained eating) act as mediators between depression and weight gain. We used structural equation modelling to test the hypothesized mediation models in a sample of 298 fathers and 294 mothers by assessing self-reported eating styles (Dutch Eating Behavior Questionnaire), depressive feelings (Depressive Mood List) and body mass index (BMI) at baseline and BMI after five years. In the model with emotional eating we also assessed the moderation effect of 5-HTTLPR genotype in a sub-sample of 520 Caucasians. All analyses were performed separately for the two sexes. Although the overall effect of depression on weight gain was statistically non-significant in both sexes, there was a causal chain between depression, emotional eating and weight gain in the mothers. Depressive symptoms were related to higher emotional eating and emotional eating predicted greater increases in BMI independently of depression. Moreover, the indirect effect (via emotional eating) of depression on BMI change was significant (Beta = 0.18, P = 0.026). This mediation effect was found to be independent of 5-HTTLPR genotype. No such mediation effect was found for the fathers. Further, external eating and restrained eating did not act as mediators between depression and weight gain in either sex. The finding that emotional eating acted as mediator between depression and weight gain in the mothers suggests that obesity interventions should take emotional eating into account.