The combination was so common that 43 percent of depressed adults were also obese, according to the report. That association was even more prevalent among those taking antidepressants: 55 percent of those patients were also obese.
Report author Laura Pratt, an epidemiologist at the U.S. National Center for Health Statistics, could not explain why or how obesity and depression are so often linked.
"We are just describing the relationship, but we don't have anything in our data that would help us answer the why question," she said.
The researchers do know that as the severity of depression increases so does the odds of being obese, Pratt said. However, the study did not prove a cause-and-effect relationship.
In addition, gender and race played a role in the connection between obesity and depression. According to the report, women suffering from depression were more likely to be obese than women who were not depressed, no matter the age group.
Also, more white women suffering from depression were obese than white women of normal weight. This relationship was not seen in black and Mexican-American women, the researchers found.
Tony Tang, an adjunct professor in the department of psychology at the University of Pennsylvania, had some theories on the connection.
"Both depression and obesity impact many aspects of life, and their relationship is naturally complex. Some of the connections are obvious: Obesity can cause low self-esteem, social isolation and stressful health problems. All of them can cause depression. Depression can lead some patients to binge eat and get obese," he said.
The relationship goes both ways, Tang said. "Many aspects of a modern lifestyle can cause both depression and obesity," he said.
For example, many people spend hours watching TV at home by themselves, playing video games, watching Internet porn or driving to work -- activities that burn no calories. These activities also isolate people, Tang said.
"Social isolation is the most important risk factor for depression, because social support can protect people from other harmful risk factors of depression," he said.
Another common link might be diet, Tang said. Overeating and unhealthy eating habits can increase the odds of depression and obesity, he said.
Medication for depression might also play a part, Tang said. "A few popular antidepressants, such as Paxil, are known to cause weight gains. Wellbutrin, a different type of antidepressant, might aid weight loss," he said.
Simon Rego, director of psychology training at Montefiore Medical Center/Albert Einstein College of Medicine in New York City, said psychotherapy can help.
"In particular, behavioral therapy, which typically emphasizes behavioral activation, may be particularly useful here, as one component of the therapy is designed to target inertia by having patients begin to schedule and slowly increase their activity level, which would, theoretically, increase their chances of both improving their mood and losing weight," Rego said.
Tang added: "Living a healthier lifestyle, eating healthy food, drinking only moderately, spending less time on TV and on the Internet, and spending more time exercising can help prevent both depression and obesity."
Visit the U.S. National Institute of Mental Health for more on depression.