Background Nutritional psychiatry is an emerging field of research and it is currently exploring the impact of nutrition and obesity on brain function and mental illness. Prior studies links between obesity, nutrition and depression among women. However, less is known how food insecurity may moderate that relationship. Methods Data were employed from the Collaborative Psychiatric Epidemiology Surveys (CPES), 2001–2003. Two logistic regression models were Logistic regression was used to determine the association between obesity, gender, food insecurity, and past year Major Depressive Disorder (MDD). We then stratified by gender, and tested the association between obesity and past year MDD, and if food insecurity moderated the association. Results Obesity was associated with an increased risk for past year Major Depressive Disorder (MDD) among females (AOR = 1.35; 95% CI 1.17–1.55) and was not associated among males (AOR = 1.07; 95% CI, 0.86–1.32). Women who reported that reported both obesity and food insecurity reported higher odds of past year MDD episode (AOR = 3.16; 95% CI, 2.36–4.21, than women who did not report food insecurity (AOR = 1.08; 95% CI, 1.02–1.38). Conclusion With rising rates of mental health problems, females should be closely monitored to understand how poor diets, food insecurity, and obesity play a role in mental health outcomes. It is recommended that clinicians and treatment providers consider the patient’s diet and access to nutritious foods when conducting their assessment.