We combine two of the most widely used measures in the inequality and poverty literature, the concentration index and Foster–Greer–Thorbecke metric to the analysis of socioeconomic inequality in obesity. This enables us to describe socioeconomic inequality not only in obesity status but also in its depth and severity. We apply our method to 1971–2012 US data and show that while the socioeconomic inequality in obesity status has now almost disappeared, this is not the case when depth and severity of obesity are considered. Such socioeconomic gradient is found to be greatest among non‐Hispanic whites, but decomposition analysis also reveals an inverse relationship between income and obesity outcomes among Mexican Americans once the effect of immigrant status has been accounted for. The socioeconomic gradient is also greater among women with marital status further increasing it for severity of obesity while the opposite is true among men. Overall, the socioeconomic gradient exists as poorer individuals lie further away from the obesity threshold. Our study stresses the need for policies that jointly consider obesity and income to support those who suffer from the double burden of poverty and obesity‐related health conditions. © 2016 The Authors. Health Economics Published by John Wiley & Sons Ltd.