(1) Background: Obesity and mood disorders are considered as the most prevalent morbidities in many countries. We suppose that epigenetic mechanisms may induce higher rates of obesity in subjects who suffer from mood disorders. In this systematic review, we focused on the potential roles of DNA methylation on mood disorders and obesity development. (2) Methods: This systematic review was conducted in accordance with the PRISMA statement and registered in Prospero. A systematic search was conducted in MEDLINE, Scopus, Web of Science, Cochrane Central database, EMBASE, and CINHAL. We also conducted a Grey literature search, such as Google Scholar. (3) Results: After deduplication, we identified 198 potentially related citations. Finally, ten unique studies met our inclusion criteria. We have found three overlap genes that show significant DNA methylation changes, both in obesity and depression. Pathway analysis interaction for TAPBP, BDNF, and SORBS2 confirmed the relation of these genes in both obesity and mood disorders. (4) Conclusions: While mechanisms linking both obesity and mood disorders to epigenetic response are still unknown, we have already known chronic inflammation induces a novel epigenetic program. As the results of gene enrichment, pathways analysis showed that TAPBP, BDNF, and SORBS2 linked together by inflammatory pathways. Hypermethylation in these genes might play a crucial rule in the co-occurrence of obesity and mood disorders.