Thyroid hormones play multiple physiological effects essential for the maintenance of basal metabolic rate (BMR), adaptive thermogenesis, fat metabolism, and appetite. The links between obesity and the hormones of the thyroid axis, i.e., triiodothyronine (T3), thyroxine (T4), thyrotropin-releasing hormone (TRH), and thyrotropin (TSH), are still controversial, especially when considering children and adolescents. This population has high rates of overweight and obesity and several treatment approaches, including nutritional, psychological, and physical exercise interventions have been used. Understanding the importance of the hormones of the thyroid axis in the recovery from overweight and obesity may help directing measures to the maintenance of a healthy body composition. The present scoping review was carried out to analyze studies evaluating these hormonal levels throughout interventions directed at treating overweight and obesity in children and adolescents. The main purpose was to ascertain whether the hormones levels vary during weight loss. We selected for analysis 16 studies published between 1999 and 2019. Most of the studies showed that the changes in body composition parameters in response to the multidisciplinary interventions correlated positively with free T3 (fT3)/ total T3 (TT3)/TSH. With respect to free T4 (fT4)/ total T4 (TT4), the most common finding was of unchanged levels and hence, no significant association with weight loss. Importantly, the response to the intervention has even been found to not be affected by fT4 supplementation. Further studies are necessary to elucidate the relevance of the variations in hormone levels to the establishment of overweight/obesity and to the recovery from these conditions in children/adolescents.