The aim of this study was to determine the effect of changes in cardiopulmonary fitness on the mental health of patients with severe obesity who underwent gastric bypass surgery (prior to and 1, 3, and 6 months after surgery). Study participants were recruited from among patients of a regional hospital in Czechia who underwent gastric bypass surgery between April 2018 and October 2019. They were eligible if they (a) were between 18 and 65 years old, (b) provided written informed consent, and (c) were able to walk independently. Twenty-six patients (age 45.4 ± 9.0 years, body mass index 45.1 ± 7.4 kg·m−2, body fat 43.8 ± 4.8%) were included in the analysis. The key finding revealed that the greater the increase in cardiopulmonary fitness (i.e., longer distance walked in the six-minute walk test, 6MWT), the better the improvement in depression score among patients who underwent bariatric surgery. In particular, increments of 10 m in the 6MWT lead to the improvement of 0.5 points on the depression subscale of the Hospital Anxiety and Depression Scale (HADS) questionnaire. As the main implication, these results suggest that patients should participate in exercise training programs to increase their fitness status for optimal physical and mental outcomes of bariatric surgery.